债市与股市波动溢出的新特征——基于希腊数据的经验

New Characteristics of the Volatility Spillover between Bond Market and Stock Market——The Experience Drawn from Greek Data

既往研究认为,债市与股市间的波动溢出主要是由股市主导的,波动溢出的方向通常是从股市到债市,而主权债务危机发生后,两市间的波动溢出呈现出新的特征。本文利用BEKK模型实证研究了希腊国债和股票市场波动溢出的变化规律,得出了不同以往的结论,即危机后两市的波动溢出完全被债市主导,溢出方向仅限于从债市到股市,进而详细分析了国债向股票市场风险传导的三大渠道,并揭示了波动溢出模式发生变化的内在原因。

Previous researches argue that the volatility spillover between bond market and stock market is basically dominated by stock market,and the direction is usually from stock market to bond market.However,new characteristics have appeared since the sovereign debt crisis broke out.The article examines the rules of the volatility spillover between Greek T-bond and stock market with the BEKK model,and draws the conclusion that since the crisis,the volatility spillover has entirely been dominated by T-bond market,and the direction of spillover is only from bond market to stock market.It then analyzes three channels of risk conduction from T-bond market to stock market,and reveals reasons why the pattern of volatility spillover has changed.