中国股市和债市波动的溢出效应--基于交易所和银行间市场的实证研究

The Volatility Spillover Effect of Chinese Stock and Bond Markets——An Empirical Analysis based on the Exchange and Inter-bank Market

由于我国股市和债市的相对分割,使得对其波动溢出关系的探讨对研究市场间资源配置、信息流动等有更深远的意义。在构建股市和债市DVAR模型的基础上,利用Wald和LR检验发现,两市存在波动溢出效应,但整体溢出影响较低。通过VECM模型分析交易所和银行间债券市场与股市之间的内在波动关系,发现交易所市场较银行间市场对股市波动影响更大,而银行间市场受交易所市场波动更剧烈。总的来看,我国目前金融资源在两市配置效率较低,资本和投资主体未形成有效连动体系,市场风险难以释放分散,因此需构筑市场之间的协调互动机制。

Because of the relative isolation of Chinese stock and bond market, the research on the volatility spillover effect between two markets is of far-reaching significance in realizing the effective allocation of resources and information flow. On the basis of a DVAR model, the paper employs Wald and LR test to prove the existence of volatility spillover effect between two markets, but the overall spillover impacts are weak. By using VECM model, the paper analyzes the intrinsic volatility relationships among the exchange bond market, the inter-bank bond market and the stock market. The result shows that the exchange bond market makes greater impacts on the volatility of the stock market than the interbank bond market, while the interbank bond is affected by the exchange bond market much more dramatically. In brief, the efficiency of financial resource allocation is still low between two markets and the capital and investors have not formed an effective chain reaction system, both of which result in that market risks cannot be released. Therefore, it is urgent for China to establish the coordination and interaction mechanism.