中国股票市场与债券市场间流动性溢出效应的非线性动态特征

Nonlinear Dynamic Characteristic of Liquidity Linkage between Stock and Bond Markets in China

利用中国股票市场和债券市场的数据,研究了两市间流动性溢出效应的非线性动态特征、两市流动性的相关关系以及宏观变量的冲击对两市流动性的影响。结果表明:股市与债市的流动性之间存在双向的非线性Granger因果关系,两市场间的流动性溢出效应具有非线性动态特征;宏观变量的变化显著影响两市的流动性且在市场低迷、流动性不足时期影响程度更大;不同状态下的宏观变量冲击会导致不同程度的跨市场投资转移。

Using the data of stock and bond markets in China,this paper empirically studies the nonlinear dynamics characteristics of liquidity linkage between two markets,the relationship between them and the impact of the shocks of macro variables on the liquidity linkage between them. The result shows as follows： there is the bidirectional nonlinear Granger causality relationship between the liquidity of stock and bond markets,which shows that there exists nonlinear liquidity linkage between two marketstmacro variables could impact the liquidity of two mar- kets significantly,particularly in down market ; the shocks of macro variables in different regime will lead to different degrees of cross-market trading activities.