市场互联、风险溢出与金融稳定——基于股票市场与债券市场溢出效应分析的视角

On the Market Interconnection,Risk Spillover and Financial Stability

评估债券市场互联互通进程中的风险溢出效应,对于进一步完善中国金融制度改革具有积极的参考意义。本文基于Copula理论研究了2002～2009年间股票市场与债券市场的风险溢出效应及其状态转换特征,研究结果表明:股票市场与债券市场联动效应总体不显著;随着中国金融市场统一步伐的加快,投资者可以通过跨市场套利交易来优化资源配置,使得股票市场与债券市场之间表现为"跷跷板"效应;相对分割的债券市场避免了极端条件下系统性风险的相互传染,使得股票市场与债券市场尾部相关性独立,客观上有助于维护金融稳定。

Assessing the risk spillover effect in the bond market interconnection process has important significance for further improving China financial system reform. Based on Copula theory, the paper researches the risk spillover as well as structure variations features of stock market and bond market during 2002 to 2009. The results indicate that the linkage effect between stock market and bond market is not significant in general, and with the unification of China financial market accelerating, investors can optimize resource allocation by cross - market arbitrage trading, which makes the stock market and the bond market display ＂see - saw＂ effect, and relatively segmented bond markets avoid the mutual transmission of systemic risk under extreme conditions, which is good to maintain financial stability.