中美股市与债市联通程度对比  

Comparative Analysis on the Unicom Degree of China and the US Stock and Bond Markets

作　　者：杨佳雯[1] 王璐[1] 

机构地区：[1]西南交通大学数学学院,四川成都611756

出　　处：《宜宾学院学报》2014年第12期22-24,共3页Journal of Yibin University

基　　金：四川省统计科学研究计划项目(2013sc81)

摘　　要：选取2010-2012年间我国具有代表性的上证综指和上证国债指数,将其与美国S&P500指和十年期国债进行对比研究,分别对中美两国股市收益率和债市收益率序列进行描述性分析、ADF检验、VAR建模、脉冲响应分析和Granger因果检验,多角度分析了两者收益率波动的联动性.实证分析表明:我国股市平均收益率低于债市,波动率高于债市;美国股市平均收益率高于债市,波动率低于债市.我国债市对股市的影响更大,美国股市对债市的影响更大.Selecting Shanghai Composite Index and SSE Government Bond Index as the representative of China＇s stockand bond markets, a comparative analysis with US SP 500 Index and 10-year bonds was executed. Using descriptivestatistics, ADF test, VAR model, Granger causality test and impulse response analysis, the characteristics of the stockand bond markets, and the link between the two markets were analyzed. Empirical analysis suggests that China＇s stockyields are lower than bond yields, with more fluctuations; while American stock yields are higher than bond yields, withless fluctuations, which means bond market has a greater influence on stock market in China, while in the US, it goes theother way round.

关 键 词：股票市场 债券市场 联动性 VAR模型 

分 类 号：O212[理学—概率论与数理统计] F830.91[理学—数学]