公司债市场是新常态下证券市场的风险信号标吗?——基于公司债与股票市场间风险溢出的研究  

Is the Corporate Bond Market the Risk Signal of the Securities Market under the New Normal of Economy?——Research on Risk Spillover between Corporate Bond and Stock Market

作　　者：曾志坚[1] 张欣怡 黄珊 ZENG Zhijian;ZHANG Xinyi;HUANG Shan(Business School,Hunan University,Changsha,Hunan 410082,China;College of Mathematics and finance,Hunan University of Humanities Science and Technology,Loudi,Hunan 417000,China)

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南人文科技学院数学与金融学院,湖南娄底417000

出　　处：《财经理论与实践》2020年第1期41-47,共7页The Theory and Practice of Finance and Economics

基　　金：国家社会科学基金项目(19BTJ018);湖南省自然科学基金项目(2018JJ2068)

摘　　要：以发行债券的上市公司为样本,分别编制公司债指数与股票指数,据此运用Copula-CoVaR模型测度公司债与股票市场间风险溢出的方向与强度。结果发现:股票市场的风险大于公司债市场;公司债与股票市场间存在双向不对称的正向风险溢出,公司债市场对股票市场的风险溢出强度显著强于股票市场对公司债市场的风险溢出强度。经济新常态下,公司债市场成为证券市场的风险指示标,具有较强的风险信号作用。Taking the listed companies issuing bonds as samples to compile a corporate bond index and a stock index respectively,this paper uses the Copula-CoVaR model to measure the direction and intensity of risk spillover between corporate bond and stock market.It is found that the stock market is more risky than the corporate bond market.There is a two-way asymmetric positive risk spillover between corporate bond market and stock market,and the risk spillover intensity of corporate bond market to stock market is significantly stronger than that of stock market to corporate bond market.Under the new normal of economy,corporate bond market has become the risk indicator of securities market,which serves as strong risk signal.

关 键 词：新常态 公司债市场 股票市场 风险溢出 

分 类 号：F830.91[经济管理—金融学]