我国股票市场和债券市场收益率的相关性和联动性研究——基于时变Copula和VAR模型  

Research on the Correlation and Linkage of China’s Stock Market and Bond Market Returns——Based on Time-Varying Copula and VAR Model

作　　者：李鑫[1] 朱冬青 LI Xin;ZHU Dong-qing(School of Economics,Yunnan University,Kunming 650500,China;School of Management,Yunnan Minzu University,Kunming 650504,China)

机构地区：[1]云南大学经济学院,云南昆明650500 [2]云南民族大学管理学院,云南昆明650504

出　　处：《经济体制改革》2022年第4期194-200,共7页Reform of Economic System

基　　金：国家自然科学基金地区项目“新时代我国沿边区域开放空间格局优化及战略支撑研究”(71861034)。

摘　　要：金融市场的波动深刻影响着社会经济的发展,股票市场和债券市场间协调发展尤其重要。基于上证综合指数和中证全债指数的日收益率数据,使用GPD-时变SJC Copula模型和VAR模型度量股票市场和债券市场收益率之间的相关性和联动性。研究表明:股票市场和债券市场收益率之间存在厚尾性和非对称性,更容易受到利空消息的影响和冲击。同时,股票市场和债券市场收益率之间的联动特征显著,但股票市场收益率对债券市场收益率的影响具有负向效应,而债券市场收益率对股票市场收益率的影响具有正向效应。鉴于此,应完善信息批露机制,加强金融市场协同监管;投资者应树立多元化的投资思维,优化金融产品的投资组合。The fluctuation of financial market has a profound impact on the development of social economy,the coordinated development between stock market and bond market is especially important.Based on the daily yield data of Shanghai Composite Index and China Securities all bond index,this paper uses GPD time-varying SJC copula model and VAR model to measure the correlation and linkage between the yields of stock market and bond market respectively.The research shows that there is a thick tail and asymmetry between the yields of stock market and bond market,which is more vulnerable to bad news.At the same time,there is a significant linkage between the stock market and the bond market yield,but the transmission effect is different.The stock market yield has a negative impact on the bond market yield,while the bond market yield has a positive impact on the stock market yield.Therefore,regulators should perfect the information disclosure mechanism,unblock the information channel of crisis bailout,and strengthen the coordinated supervision of financial market.Investors should optimize the portfolio and strategy of financial products,and establish diversified investment perspective and strategy.

关 键 词：股票市场 债券市场 时变Copula模型 VAR模型 

分 类 号：F830.91[经济管理—金融学]