中国股市泡沫与债市泡沫之间的时频联动性研究

An Empirical Research on Time-frequency Co-movement between Stock Market Bubble and Bond Market Bubble in China

首先基于倒向上确界ADF泡沫检验方法(BSADF)来对中国沪、深股市和债券市场2000~2015年的泡沫程度进行动态监测,进而采用极大重叠离散小波变换方法(MODWT)分析股市泡沫与债市泡沫之间的时频联动性。研究结果表明:在整个时期内,沪、深股市和债券市场均出现了多次泡沫,比较严重的股市泡沫和债市泡沫分别集中在2007年和2008年;短期和长期上,股市泡沫与债市泡沫之间存在正向联动性,说明两者具有相互促进的关系;而中期上,股市泡沫与债市泡沫之间存在负向联动性,具有此消彼长的关系;相比之下,两者在长期上的正向联动性最为显著。

This paper make an empirical study on price bubble between Shanghai and Shenzhen stock market bubble and bond market in China based on backward sup ADF test method（BSADF）.Our data include three weekly indexes such as Shanghai Composite Index,Shenzhen Component Index and China Bond Index from January 2002 to October 2015.Then we analyze time-frequency co-movement between stock market bubble and bond market bubble based Maximal Overlap Discrete Wavelet Transform（MODWT）method.Our result shows that there are some significant bubbles among stock market and bond market in the entire period.There is sever stock bubble in 2007 and bond bubble in 2008.There is positive relationship showing a mutually reinforcing feature between stock market bubble and bond market bubble in short and long term.However,there is signification negative relationship showing the shift feature between stock market bubble and bond market bubble.In contrast,the positive relationship between stock market and bond market bubble is the most significant.