股票与债券市场流动性联动的实证研究

An Empirical Study on the Liquidity Co-movement between Stock and Bond Markets

金融资产流动性的联动关系是金融管理学中的一个基础问题,通过实证分析股票市场与债券市场之间流动性的联动关系的研究结果表明,股票市场与债券市场流动性之间存在长期协整关系,股票市场与债券市场流动性的波动之间存在领先滞后关系,股票市场与债券市场流动性之间的月度相关性是时序变化的,可以用模型进行描述与预测。

Liquidity co-movement between financial assets is a fundamental is,sue of financial man- agement. This paper empirically studies the liquidity co-movement between stock and bond markets. The empirical results indicate that co-integration exists in the liquidity of stock and bond markets. The leading and lag relation exists in the liquidity variations of stock and bond markets. The month correlation between the liquidity of stock and bond markets is time- varying, which can be described and predicted with some models.