欧债危机国家国债与股票收益率相关性研究  

Research on the Correlation between Government Bond and Stock Returns in the European Sovereign Debt Crisis

作　　者：董兵兵[1] 何剑峰[1] 

机构地区：[1]中央财经大学金融学院,北京100081

出　　处：《金融理论与实践》2012年第2期102-106,共5页Financial Theory and Practice

摘　　要：欧债危机爆发后,欧元区国家国债与股票市场的相关性呈现出新的特点。在深入分析国债和股票市场风险传导机制的基础上,提出了一个分析两者关系的理论框架,将股债相关性的变化归因于贴现率、资金流、风险三大因素的复合效应。利用希腊、葡萄牙、西班牙和德国的数据,对国债和股票收益率的相关性进行了多角度的实证研究,结果表明,本文的理论框架能够很好地解释危机前后各种股债关系的变化。Since the European Sovereign Debt Crisis broke out, the correlation between government bond and stock markets has shown new features. This paper proposes a theoretical framework which attributes the stock-bond correlation to the combined effect of discount rate, cash flows and risk factors, accounting for the risk conducting mechanism between bond and stock markets. We research the relationship between government bond and stock returns from various angles with the data of Greece, Portugal, Spain and Germany. The result shows our theoretical framework can well explain kinds of stock-bond correlation patterns before and during the crisis.

关 键 词：欧债危机 国债 股票 收益率 

分 类 号：F830.91[经济管理—金融学]