股市与债市波动溢出效应的机理研究——基于金融资源配置效率的视角

The Mechanism Research on the Volatility Spillover Effects of the Stock Market and Bond Market——In Terms of the Allocative Efficiency of Financial Resources

股市和债市波动溢出效应是金融市场波动的基本特征,研究其机理能够更清晰认识两个市场的价格传导机制和交互波动关系。针对目前研究缺乏系统性等问题,本文从资金、价格及风险等角度研究股市与债市的关联性,分析两个市场存在波动溢出的理论基础;用行为金融学解释波动溢出的产生机理;最后,阐明波动溢出效应与金融资源配置效率的关系。研究发现,它是引导社会资金在资本市场中实现二次配置、提高金融资源配置效率的重要途径。

Volatility spillover effects of stock market and bond market are the basic features of the financial market. The mechanism research is helpful for us to understand the price transmission mechanism and interactive relationship clearer. Through the lack of theoretical research on volatility spillover, the correlation between stock market and bond market is researched in terms of capital, price and risk, then the mechanism of volatility spillover is explained from behavioral finance. Finally, the relation between volatility spillover effects and the efficiency of financial resources allocation is explained. The result shows that the spillover effect can guide social funds allocation secondly in the capital market, and improve the efficiency of financial resources allocation.