中国股市和债市间避险对冲效应及其定价机制

Safe Haven Hedging and Pricing Effects across the Chinese Stock and Bond Markets

经过三十多年的发展,中国股票和债券市场规模全球第二,表现出全球“避风港”的潜力,研究这两个大类资产间避险对冲效应,探索中国特色社会主义市场体系中资本市场的运行规律,对中国经济学的构建具有重要的意义。本文运用条件协偏度和协峰度来刻画一种资产风险变大和出现极端风险的情况下另一个市场是否具有对冲功能,并检验这种避险对冲效应是否影响股票和国债的风险溢价。结果发现,当一种资产对另一资产的条件协偏度下降和条件协峰度上升时,其预期收益会随之上升,说明我国股票市场和国债市场之间可以互相对冲风险,其跨市场定价机制符合偏度偏好和峰度厌恶假设。比较分析国债期货重新上市交易前后样本,可以发现随着利率市场化的推进,股票和国债市场间避险对冲效应有所加强。本文还将研究拓展至期货市场,发现国债现货能够对冲股票期货市场的波动性和极端风险,但相互避险的作用在股指期货和国债期货市场之间、其他现货和期货交叉市场间并不显著。这些发现为监管部门继续发展和完善股票市场和国债市场,放开国债期货和股指期货交易的管制,进一步推动利率市场化改革,促进中国金融市场的良性互动发展提供了重要的科学依据。

Following the 2008 global financial crisis,the U.S.Treasury bond market became a“safe haven”for global investors,indicating that a well-developed Treasury bond market plays an important role in hedging against financial crisis.This has a more general implication for China:effective co-movement between stock and bond markets will provide investors with hedging benefits across the two major asset classes.Prior studies assume that the return distribution is a normal distribution or that investors have mean-variance preferences.However,safe haven hedging is a non-linear co-movement whenever there is a crisis,or merely an outbreak of uncertainty,in financial markets,typically with a long and fat tail of financial asset returns.Using Chinese stock and Treasury bond data from both cash and futures markets,we formulate the safe haven hedging properties as cross-market co-skewness and co-kurtosis,which refer to one asset with stable performance during times of financial stress.Moreover,co-skewness and co-kurtosis have a strong economic foundation in the skewness and kurtosis preferences of investors who consider investing in stock and bond markets and prefer portfolios to have higher skewness and lower kurtosis.We estimate a bivariate regime-switching model for Chinese stock and bond excess returns and derive two pairs of conditional co-skewness and co-kurtosis as well as other conditional moments.Next,we examine the pricing behavior of the estimated co-skewness and co-kurtosis by conducting time-series regressions of the future excess returns over various horizons on the conditional co-skewness and co-kurtosis,after controlling for the conditional volatility,covariance(or beta),idiosyncratic skewness,and kurtosis.Consistent with skewness preference,conditional stock co-skewness(the relation between stock return and bond volatility)and bond co-skewness(the relation between bond return and stock volatility)are found to be significantly and negatively priced in stock and bond returns,respectively.Also,consistent with kurtosis aversion,conditional stock co-kurtosis(the relation between stock return and bond skewness)and bond co-kurtosis(the relation between bond return and stock skewness)are significantly and positively priced in stock and bond returns,respectively.In other words,our results show that co-skewness(co-kurtosis)earns a significant negative(positive)risk premium.These results are consistent with those of existing studies that use samples from developed countries.More specifically,we find co-skewness and co-kurtosis pricing effects across Chinese stock and bond cash markets but not futures markets.This suggests that the Chinese stock and bond cash markets can hedge each other against volatility and extreme risk.There is further evidence that bond cash markets can hedge against stock futures volatility and extreme risk.The contributions are as follows.First,we extend the literature on cross-market co-movement and pricing mechanism by investigating the Chinese stock and Treasury bond data of both cash and futures markets.Second,we examine co-kurtosis,an important but under-researched priced factor,and co-skewness across stock and bond markets.We find that the Chinese stock and bond markets can hedge each other against volatility and extreme risk for cash markets but not futures markets.Third,we suggest that no hedging benefit for the Chinese stock and bond futures markets is due to restrictions imposed by authorities.Banks and insurance companies,which are the largest holders of the Treasury bond cash market,were not allowed to access the Treasury bond futures market until April 2020.Also,strict regulations on transactions have been implemented in stock index futures since the drastic fluctuations in the Chinese stock market in 2015,which materially constrain market liquidity.This sheds light on more effective regulation to develop China's futures markets.