公司债市场和股票市场相依性和组合风险研究

Research on the dependence and portfolio risk of corporate bond market and stock market

公司债市场和股票市场受到高度的投资关注,研究公司债市场和股票市场的相依性和组合风险问题对微观投资的决策和金融市场稳定均具有重要的意义。本文基于中证公司债指数和上证综合指数的日收益率数据,首先使用GPD模型拟合了公司债市场和股票市场的边际分布,主要是基于A2统计量的方法来确定边际分布的阈值;然后,通过Copula模型讨论了股票市场和公司债的风险相依性;最后,根据Copula-Va R模型度量公司债市场和股票市场在不同权重下的组合风险。结果表明:公司债市场和股票市场存在显著的上尾非对称相关关系,公司债市场和股票市场在权重为(0.4,0.6)条件下的组合风险最小。因此,本文认为,相关的金融监管机构应加强宏观审慎监管,协调财政货币政策,健全风险防范和危机救助机制。

The corporate bond market and stock market are highly concerned by investment. It is of great significance to study the dependence and portfolio risk of corporate bond market and stock market for the decision-making of micro investment and the stability of financial market. Based on the daily yield data of the corporate bond index and the Shanghai Composite Index, this paper first uses the GPD model to fit the marginal distribution of the corporate bond market and the stock market, mainly based on the method of A2 statistics to determine the threshold value of the marginal distribution, then discusses the risk dependence of the stock market and the corporate bond through the copula model, and finally measures the corporate bond according to the copula VAR model Market and stock market portfolio risk under different weights. The results show that there is a significant asymmetric correlation between the corporate bond market and the stock market, and the portfolio risk of the corporate bond market and the stock market is the lowest when the weight is(0.4,0.6). Therefore, this paper argues that relevant financial regulators should strengthen macro prudential supervision, coordinate fiscal and monetary policies, and improve the crisis relief mechanism.