我国股市与银行间债市的风险联动研究

An Empirical Analysis of the Risk Transition between Stock Market and Inter-Bank Bond Market

自2002年我国银行间债券市场开放以来,跨市场交易日渐增多,金融市场间的风险联动性成为我国金融风险监管的一个重要政策议题。本文通过建立BEKK模型,从收益率二阶矩的角度对股票市场与银行间债券市场的跨市场金融风险传导效应进行研究。结果表明:我国证券市场尚未达到弱式有效,资本市场没有充分发挥风险分散的职能;仅存在由股票市场向银行间债券市场的二阶矩单向风险传导,金融风险有从资本市场向信贷市场传递的倾向。

After the deregulation of the inter-bank market, capital flows freely across financial market, which might change volatility spillovers across markets. In this paper, we adopt the BEKK-MGARCH model to investigate the risk transition between inter-bank bond market and stock market. We find that there exist only the unilateral risk transition from stock market to inter-bank bond market. We consider the main reason of this result is because of the investors＇ heterogeneity and information asymmetry in the microstructure of the security market.