我国股票市场与债券市场联动的国内外因素分析——基于不同时期的比较研究

The Global and Local Factors of China’s Stock and Bond Markets——Comparison based on Different Periods

本文将2007至2012年分为平常时期、美国金融危机时期和"双危机"叠加时期三个阶段,利用描述性统计及Granger因果检验方法分析了国际金融市场风险传染至我国证券市场的路径;运用动态样本相关系数和动态残差相关系数刻画了不同时期、不同事件窗口下我国股票市场和债券市场联动性的变化特征,并据此分析我国股票市场和债券市场联动的主要原因究竟是来自国际还是国内因素,以使反危机政策更具针对性。

The thesis divides the data over the period from 2007-2010 into three phases,namely normal times,Financial Crisis of U.S.and Double-crisis period.It makes analysis on the contagion routes of international financial market risks into China’s securities markets via descriptive statistics and Granger causality test.It uses rolling correlation coefficient and rolling residual correlation coefficient to depict the linkage between Chinese stock market and bond market during different period and different event windows.On the above basis,it makes it clear which are more influential,the international factors or the domestic ones that cause the coordination of stock market and securities market.By doing so,it’s intended to make the anti-crisis policy more effective.