中国股市与债市间的极值波动溢出效应研究

Research on the Spillover Effect of Extreme Volatility Between the Chinese Stock Market and Bond Market

股市与债市作为金融市场的两大核心支柱,其波动率之间的相互作用机制一直是学术界关注的焦点。基于我国股票和债券市场指数数据,在波动率建模的基础上,利用QVAR模型对两类市场之间的波动溢出效应进行深入的探讨,揭示不同分位数水平下股市与债市波动率之间的动态关系。研究结果显示:股市与债市波动率在各分位数水平均存在显著的溢出效应,特别是当市场波动处于高分位时,这种效应更为突出。整体而言,股市扮演着波动净传递者的角色,这意味着股市的波动往往先于债市,并对债市产生显著影响。进一步分析发现,当金融市场遭遇重大社会经济事件冲击时,部分投资者倾向于转向相对稳定的国债市场寻求避险,这一现象加剧了国债市场承受的波动溢出效应。此外,无论是在静态还是动态分析框架下,企业债市场始终扮演着波动净接受者的角色,且在各分位点上均表现出这一特性,显示出企业债市场在面对外部波动时的相对脆弱性。

As the two core pillars of the financial market,the interaction mechanism between the volatility of the stock market and the bond market has been the focus of academic attention.Based on Chinese stock and bond market index data and volatility modeling,this paper uses QVAR model to deeply discuss the volatility spillover effect between the two types of markets,and reveals the dynamic relationship between stock and bond market volatility at different quantile levels.The results show that the volatility of stock and bond markets has a significant spillover effect at each quantile level,especially when the market volatility is at the high level,this effect is more prominent.Overall,stocks act as a net volatility passer,meaning that moves in stocks tend to precede and have a significant impact on bonds.Further analysis shows that when the financial market encounters the impact of major social and economic events,some investors tend to turn to the relatively stable national debt market to seek refuge,which aggravates the volatility spillover effect of the national debt market.In addition,whether under the framework of static or dynamic analysis,the corporate bond market always plays the role of a net receiver of volatility,and this feature is displayed at all sub-points,indicating the relative vulnerability of the corporate bond market in the face of external fluctuations.