市场互联、风险溢出与金融稳定——基于股票市场与债券市场溢出效应分析的视角  

On the Market Interconnection,Risk Spillover and Financial Stability

作　　者：史永东[1] 丁伟[2] 袁绍锋[3] 

机构地区：[1]东北财经大学金融学院和应用金融研究中心,辽宁大连116025 [2]中国联通,北京100048 [3]中国金融期货交易所,上海200122

出　　处：《金融研究》2013年第3期170-180,共11页Journal of Financial Research

基　　金：国家自然科学基金(70871019;71072140;71171036);国家社科基金重大项目(12&ZD067);教育部人文社科青年基金项目(12YJC790091;09YJC630022);教育部人文社会科学重点研究基地重大项目(2009JJD790004);广义虚拟经济研究专项资助项目(GX2011-1026(M))的资助

摘　　要：评估债券市场互联互通进程中的风险溢出效应,对于进一步完善中国金融制度改革具有积极的参考意义。本文基于Copula理论研究了2002～2009年间股票市场与债券市场的风险溢出效应及其状态转换特征,研究结果表明:股票市场与债券市场联动效应总体不显著;随着中国金融市场统一步伐的加快,投资者可以通过跨市场套利交易来优化资源配置,使得股票市场与债券市场之间表现为"跷跷板"效应;相对分割的债券市场避免了极端条件下系统性风险的相互传染,使得股票市场与债券市场尾部相关性独立,客观上有助于维护金融稳定。Assessing the risk spillover effect in the bond market interconnection process has important significance for further improving China financial system reform. Based on Copula theory, the paper researches the risk spillover as well as structure variations features of stock market and bond market during 2002 to 2009. The results indicate that the linkage effect between stock market and bond market is not significant in general, and with the unification of China financial market accelerating, investors can optimize resource allocation by cross - market arbitrage trading, which makes the stock market and the bond market display ＂see - saw＂ effect, and relatively segmented bond markets avoid the mutual transmission of systemic risk under extreme conditions, which is good to maintain financial stability.

关 键 词：股票市场 债券市场 风险溢出效应 COPULA 

分 类 号：F224[经济管理—国民经济] F832.51