我国股票市场与债券市场的溢出风险测度——来自上海证券市场的证据

The Studies on Spillover Risk Measure between Stock Market and Bond Market——Evidence from Shanghai Security Market in China

笔者基于VAR-DCC-MGARCH模型研究了沪市股票指数与国债指数的波动相关性和溢出效应,估计了两个市场的VaR,并通过失败检验法进行了验证。结果表明,股票市场与国债市场的动态条件相关系数具有很强的时变特征,股票市场对国债市场存在显著的波动溢出效应。

Based on the VAR-DCC-MGARCH models, this paper estimates the VAR of two markets by analyzing the related volatility and spillover effect between Shanghai Stock Index and Shanghai Bond Index with validation test of probability of failures. The results show that： the dynamic conditional correlation coefficient between stock market and bond market shows highly time-varying characteristics. Stock market has significant volatility spillover effect on bond market. Given some probability of expected losses, it is also found that the ratio of risk to return for VaR of stock index return is higher than of bond index return, the risk return of stock index is higher than the risk return of bond index. Considering the VaR which excluded influence from the other market＇s volatility, two markets bears geater risks.