基于向量误差修正模型的股、债市场收益率相关性实证研究  

An Empirical Study of the Correlation of the Yield Rate of bond and Share Markets Based on VECM Strands

作　　者：饶水林[1] 

机构地区：[1]广东机电职业技术学院经济贸易学院,广东广州510515

出　　处：《内蒙古财经大学学报》2017年第4期26-30,共5页Journal of Inner Mongolia University of Finance and Economics

摘　　要：采用2007年1月5日到2016年11月30日两市A股加权的综合收益率和中证全债收益率,使用月数据,构建向量误差修正模型(VECM)。对中国股票与债券市场的相关性进行计算分析,分析宏观和微观因素对债股相关性的影响原理。研究结果表明:除极少数时段我国债券市场与股票市场的收益率相关系数为负数之外,大部分时段里,二者的收益率呈正相关;当股市处于振幅比较大的时段,股票市场与债券市场收益率相关性减弱,或呈负相关,而通胀预期明朗时,股票市场和债券市场收益率正相关性较强;货币流动性和贴现率指标等宏观经济变量,对二者的相关性的影响不显著。Based on the comprehensive rate of return of the A shares and the rate of full debt in China,the vector error correction model（ VECM） was constructed by using the monthly data from January 5,2007 to November30,2016. The paper analyzes the correlation between Chinese bond and stock market,and analyzes the influence of macro and micro factors on debt correlation. The results show that the correlation coefficient between the bond market and the stock market is negative in short period. In most of the period,the yield of the two is positively correlated. When the stock market is in a relatively large period,the stock market and The correlation between the stock market and the bond market is positively correlated with the macroeconomic variables such as monetary liquidity and interest rate indicators,and the correlation between the bond market and the bond market is very negative. The impact is not significant.

关 键 词：债券市场 股票市场 VECM 

分 类 号：F830.91[经济管理—金融学]