本文選題：股票 + 債券��； 參考：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：資本市場(chǎng)是配置社會(huì)資源的場(chǎng)所,成熟有效的資本市場(chǎng)對(duì)于整體經(jīng)濟(jì)的健康發(fā)展具有不可估量的作用。股票市場(chǎng)和債券市場(chǎng)是資本市場(chǎng)的核心組成部分,深入探討兩者的聯(lián)動(dòng)關(guān)系對(duì)于微觀投資者的投資決策和宏觀資本市場(chǎng)平穩(wěn)運(yùn)行具有很強(qiáng)的現(xiàn)實(shí)指導(dǎo)意義。 本文從收益率角度出發(fā)來(lái)研究我國(guó)股票市場(chǎng)與債券市場(chǎng)之間的相關(guān)性,探求股票市場(chǎng)與債券市場(chǎng)收益率之間聯(lián)動(dòng)關(guān)系的存在性,聯(lián)動(dòng)關(guān)系以何種形式存在,以及宏觀經(jīng)濟(jì)因素對(duì)于聯(lián)動(dòng)關(guān)系的影響,并提出相應(yīng)的政策建議。 首先從理論出發(fā)分析了股票市場(chǎng)與債券市場(chǎng)的聯(lián)動(dòng)性的機(jī)理,并從貨幣因素、價(jià)格因素以及實(shí)體經(jīng)濟(jì)因素三個(gè)角度來(lái)分析宏觀經(jīng)濟(jì)變量對(duì)股票市場(chǎng)與債券市場(chǎng)收益率之間聯(lián)動(dòng)性的影響。貨幣因素變量選用利率與貨幣供給量；價(jià)格因素變量選用通貨膨脹與匯率；實(shí)體經(jīng)濟(jì)因素選用固定資產(chǎn)投資與消費(fèi)。 根據(jù)理論分析,股票市場(chǎng)與債券市場(chǎng)存在相互影響的機(jī)理,主要通過(guò)三個(gè)渠道相互影響：股票與債券的資產(chǎn)組合配置；商業(yè)銀行的資產(chǎn)負(fù)債結(jié)構(gòu)；實(shí)體經(jīng)濟(jì)的周期性運(yùn)行。利率、貨幣供給量、匯率的變化會(huì)導(dǎo)致股票市場(chǎng)與債券市場(chǎng)收益率同方向變動(dòng)；通貨膨脹的變化對(duì)股票市場(chǎng)與債券市場(chǎng)收益率的相關(guān)性影響不確定；固定資產(chǎn)投資、消費(fèi)的變化會(huì)導(dǎo)致股票市場(chǎng)與債券市場(chǎng)收益率反方向變動(dòng)。 實(shí)證分析主要分為兩個(gè)部分：股票市場(chǎng)與債券市場(chǎng)收益率相關(guān)性的存在性研究；股票市場(chǎng)與債券市場(chǎng)相關(guān)性的影響因素研究。第一部分實(shí)證方法采用建立向量自回歸(VAR)模型,并做脈沖響應(yīng)函數(shù)、方差分解和Granger因果關(guān)系分析。第二部分實(shí)證方法采用協(xié)整檢驗(yàn)以及向量誤差修正模型(VECM)模型進(jìn)行分析。 通過(guò)實(shí)證分析,結(jié)果表明股票市場(chǎng)與債券市場(chǎng)之間確實(shí)存在相互影響的關(guān)系,但是股票市場(chǎng)與債券市場(chǎng)之間的相互影響較弱。另外還發(fā)現(xiàn),股票市場(chǎng)對(duì)債券市場(chǎng)的影響要強(qiáng)于債券市場(chǎng)對(duì)股票市場(chǎng)的影響。利率、貨幣供給量、匯率、通貨膨脹、固定資產(chǎn)投資、消費(fèi)對(duì)股票市場(chǎng)與債券市場(chǎng)收益率的聯(lián)動(dòng)性均有影響。利率與股票和債券市場(chǎng)收益率存在負(fù)的相關(guān)性；貨幣供給量與股票和債券市場(chǎng)收益率存在正的相關(guān)性；通貨膨脹與股票和債券市場(chǎng)收益率存在負(fù)的相關(guān)性；匯率與股票和債券市場(chǎng)收益率存在負(fù)的相關(guān)性；固定資產(chǎn)投資與股票和債券市場(chǎng)收益率存在負(fù)的相關(guān)性；消費(fèi)與股票和債券市場(chǎng)收益率存在正的相關(guān)性。這些宏觀經(jīng)濟(jì)因素對(duì)兩個(gè)市場(chǎng)收益率聯(lián)動(dòng)性的影響與理論分析基本一致。同時(shí)還發(fā)現(xiàn),宏觀經(jīng)濟(jì)因素對(duì)股票市場(chǎng)的影響大于對(duì)債券市場(chǎng)的影響。 根據(jù)理論分析與實(shí)證分析,本文得出結(jié)論：股票市場(chǎng)與債券市場(chǎng)之間存在相互影響的關(guān)系,但是相互作用不均衡；股票市場(chǎng)與債券市場(chǎng)呈分割狀態(tài)；宏觀經(jīng)濟(jì)因素影響股票市場(chǎng)與債券市場(chǎng)的聯(lián)動(dòng)性,宏觀經(jīng)濟(jì)因素對(duì)股票市場(chǎng)的影響大于對(duì)債券市場(chǎng)的影響。 最后,根據(jù)所得出的結(jié)論,筆者就中國(guó)證券市場(chǎng)現(xiàn)狀以及未來(lái)發(fā)展提出幾點(diǎn)政策建議。
[Abstract]:The capital market is the place to allocate the social resources, and the mature and effective capital market has an inestimable effect on the healthy development of the whole economy. The stock market and the bond market are the core components of the capital market. The deep exploration of the linkage relationship between the two and the smooth operation of the investment decision and the macro capital market of the micro investors It is of great practical significance.
From the angle of yield, this paper studies the correlation between the stock market and the bond market, explores the existence of the linkage relationship between the stock market and the bond market rate of return, the form of the linkage relationship, and the influence of the macroeconomic factors on the linkage relationship, and puts forward the corresponding policy suggestions.
First, the mechanism of the linkage between the stock market and the bond market is analyzed from the theory, and the influence of the macroeconomic variables on the linkage between the stock market and the bond market yield is analyzed from three aspects of monetary, price and real economic factors. Prime variables are inflation and exchange rate; real economy factors choose fixed assets investment and consumption.
According to the theoretical analysis, the mutual influence between the stock market and the bond market is mainly influenced by three channels: the portfolio allocation of stock and bond, the assets and liabilities structure of the commercial banks, the periodic operation of the real economy. The change of interest rate, money supply and foreign exchange rate will lead to the profit of the stock market and the bond market. The change in the rate of inflation has an uncertain influence on the correlation between the stock market and the bond market yield; the change in the investment of fixed assets and the change of consumption will lead to the reverse direction of return on the stock market and the bond market.
The empirical analysis is divided into two parts: the existence of the stock market and the bond market yield correlation; the study of the correlation between the stock market and the bond market. The first part of the empirical method adopts the vector autoregression (VAR) model, and does the impulse response function, the variance decomposition and the Granger causality analysis. Second Some empirical methods are analyzed by co integration test and vector error correction model (VECM).
The results show that there is a mutual influence between the stock market and the bond market, but the mutual influence between the stock market and the bond market is weak. In addition, it is found that the impact of the stock market on the bond market is stronger than that of the bond market on the stock market. There is a negative correlation between interest rate and the yield of stock and bond market; there is a positive correlation between the supply of money and the yield of stock and bond market; there is a negative correlation between inflation and the return on stock and bond market; There is a negative correlation between rate and stock and bond market yield; there is a negative correlation between fixed asset investment and stock and bond market returns; there is a positive correlation between consumption and stock and bond market returns. The impact of these macroeconomic factors on the linkage of the two market returns is basically consistent with the theoretical analysis. It is found that the impact of macroeconomic factors on the stock market is greater than that on the bond market.
Based on the theoretical analysis and empirical analysis, this paper draws a conclusion that there is a mutual influence between the stock market and the bond market, but the interaction is unbalanced; the stock market and the bond market are divided; the macroeconomic factors affect the linkage between the stock market and the bond market, and the influence of the macroeconomic factors on the stock market. Greater than the impact on the bond market.
Finally, according to the conclusion, the author puts forward some policy suggestions on the current situation and future development of China's securities market.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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