摘要
股票市场和债券市场之间的价格波动会对整个金融市场甚至国家的金融体系产生深远的影响。研究它们之间的传导效应,可以定量化了解它们的互动关系,认识两个市场的相互作用机理,提高它们抵御金融风险的能力等。Chi-plot方法是一种测度变量关联性的图方法,通过图形特征清晰表现出变量间的影响关系。在绘制中国股市和债市cbi-plot基础上,检验了它们之间传导效应的存在性,并形象直观的表现出传导的动态效应和强度,这些都是传统方法无法比拟的。最后文章从理论上解析了股市和债市传导效应存在的动因。
The price fluctuate of stock market and bond market influences the national financial system. Researching the contagion effect can realize their relationship and increase the capacity about resisting the financial risk. Chi-plot is a method which can detect and show the variable correlation clearly by graph. After chi-plot of stock market and bond market done, the exist of their contagion effect is test. The chi-plot represents the dynamic contagion effect and intensity. Finally, the reason why the contagion effect exists is researched in theory.
出处
《数理统计与管理》
CSSCI
北大核心
2008年第3期520-524,共5页
Journal of Applied Statistics and Management
基金
国家自然科学基金(编号:05BJY098)
