本文選題：上證國(guó)債指數(shù) + 銀行間國(guó)債指數(shù)　； 參考：《浙江工商大學(xué)》2014年碩士論文

【摘要】：中國(guó)的股票市場(chǎng)和國(guó)債市場(chǎng)作為中國(guó)金融市場(chǎng)的兩個(gè)重要的子市場(chǎng),兩者之間的關(guān)系錯(cuò)綜復(fù)雜。經(jīng)過(guò)多年的發(fā)展,兩市場(chǎng)都從剛開(kāi)始的不穩(wěn)定階段一步一步地逐漸走向成熟,在直接融資和改善資源配置方面正發(fā)揮著越來(lái)越大的作用,但是,和西方一些發(fā)達(dá)國(guó)家相比,中國(guó)的這兩個(gè)市場(chǎng)還在結(jié)構(gòu)和制度方面存在著先天性的缺陷。特別是如今的國(guó)債市場(chǎng),仍然處于嚴(yán)重的分割狀態(tài)。國(guó)債市場(chǎng)按照交易場(chǎng)所分,主要分成上證國(guó)債市場(chǎng)和銀行間國(guó)債市場(chǎng)。大部分文章在研究國(guó)債市場(chǎng)與股票市場(chǎng)間的關(guān)系時(shí),都只將上證國(guó)債市場(chǎng)作為國(guó)債市場(chǎng)的代表,而沒(méi)有將銀行間國(guó)債市場(chǎng)考慮入內(nèi)。所以本文將國(guó)債市場(chǎng)分成上證國(guó)債市場(chǎng)和銀行間國(guó)債市場(chǎng)后,再與股票市場(chǎng)一起分析。從均值溢出效應(yīng)、波動(dòng)溢出效應(yīng)以及動(dòng)態(tài)相關(guān)性方面對(duì)三個(gè)金融市場(chǎng)作了實(shí)證研究。 研究的基礎(chǔ)數(shù)據(jù)對(duì)象選取了2005年4月29日至2013年11月19日的上證國(guó)債指數(shù)、銀行間國(guó)債指數(shù)以及上證綜合指數(shù)的收盤(pán)價(jià)數(shù)據(jù)。在均值溢出效應(yīng)分析方面,首先通過(guò)了平穩(wěn)性檢驗(yàn),進(jìn)而依據(jù)LR、FPE、AIC、SC和HQ準(zhǔn)則構(gòu)建了VAR(4)模型,從整體上得出,相較于股市對(duì)債市的影響,債市對(duì)股市的影響較弱些。 然后再在VAR模型的基礎(chǔ)上進(jìn)行了格蘭杰因果關(guān)系檢驗(yàn),脈沖響應(yīng)函數(shù)分析以及方差分解,得出在95%的置信水平下,銀行間國(guó)債市場(chǎng)和上證國(guó)債市場(chǎng)互為格蘭杰因果關(guān)系,上證股票市場(chǎng)為銀行間國(guó)債市場(chǎng)的單向格蘭杰因果關(guān)系。但上證股票市場(chǎng)和上證國(guó)債市場(chǎng)之間不存在顯著的因果關(guān)系。市場(chǎng)對(duì)自身產(chǎn)生的信息反應(yīng)速度快,也容易吸收。相比之下,對(duì)來(lái)自其他市場(chǎng)的信息,反應(yīng)慢,也很難被較快地消化。相對(duì)于國(guó)債市場(chǎng)對(duì)股票市場(chǎng)的貢獻(xiàn)程度,股票市場(chǎng)對(duì)國(guó)債市場(chǎng)的貢獻(xiàn)程度要更加大一些。就國(guó)債市場(chǎng)而言,上證國(guó)債市場(chǎng)對(duì)銀行間國(guó)債市場(chǎng)的貢獻(xiàn)度要高于銀行間國(guó)債市場(chǎng)對(duì)上證國(guó)債市場(chǎng)的貢獻(xiàn)度。 在波動(dòng)溢出效應(yīng)分析方面,建立了BEKK模型,得到三個(gè)市場(chǎng)的波動(dòng)都表現(xiàn)出集聚性,并且上證股票市場(chǎng)兩個(gè)國(guó)債市場(chǎng)產(chǎn)生的波動(dòng)溢出效應(yīng)要大于兩個(gè)國(guó)債市場(chǎng)對(duì)上證股票市場(chǎng)產(chǎn)生的影響。而兩個(gè)國(guó)債市場(chǎng)之間,有存在一定的雙向波動(dòng)溢出效應(yīng)。而在動(dòng)態(tài)相關(guān)性方面,引進(jìn)了時(shí)下比較熱門(mén)的DCC模型以及在2006年被提出來(lái)的在DCC模型的基礎(chǔ)上考慮了金融資產(chǎn)間非對(duì)稱(chēng)沖擊的模型AG-DCC。對(duì)時(shí)變條件相關(guān)系數(shù)進(jìn)行的基本統(tǒng)計(jì)描述發(fā)現(xiàn),兩者的的結(jié)果沒(méi)有很大的差異,但從AG-DCC模型的結(jié)果可以進(jìn)一步看出,上證國(guó)債市場(chǎng)、上證股票市場(chǎng)以及銀行間國(guó)債市場(chǎng)都會(huì)受到新息的沖擊,并且三個(gè)市場(chǎng)收益率受到新息沖擊的影響都是正向的。三個(gè)金融市場(chǎng)收益率波動(dòng)都具有較強(qiáng)持久性,得到非對(duì)稱(chēng)沖擊對(duì)三個(gè)市場(chǎng)間的動(dòng)態(tài)相關(guān)性均有影響。 文章最后做了總結(jié),對(duì)消除國(guó)債的分割性以及促進(jìn)國(guó)債市場(chǎng)與股票市場(chǎng)的和諧發(fā)展提出了幾點(diǎn)建議,也提到了本文的一些缺點(diǎn)和不足。可以看出國(guó)債市場(chǎng)與股票市場(chǎng)是相互影響的,只有達(dá)到各個(gè)市場(chǎng)的和諧才能促進(jìn)每個(gè)市場(chǎng)都健康穩(wěn)步的發(fā)展。
[Abstract]:China's stock market and the national debt market are two important sub markets in the Chinese financial market. The relationship between the two is complicated. After years of development, the two market is gradually becoming mature step by step from the initial stage of instability, and it is playing a more and more important role in direct financing and improving the allocation of resources. Compared with some developed countries in the west, the two markets in China have a congenital defect in the structure and system. In particular, the Treasury bond market is still in a serious state of segmentation. The Treasury bond market is divided into the Shanghai stock bond market and the interbank treasury bond market according to the trading place. Most of the articles are in the research country. In the relationship between the bond market and the stock market, the bond market is only regarded as the representative of the Treasury bond market, but it does not consider the interbank bond market into the market. So the paper divides the Treasury bond market into the Shanghai stock market and the interbank bond market, and then analyzes the market with the stock market. An empirical study is conducted on three financial markets in terms of dynamic relevance.
The basic data object of the study selected the Shanghai stock bond index, the interbank treasury bond index and the closing price of the Shanghai Composite Index from April 29, 2005 to November 19, 2013. In the analysis of mean spillover effect, the stability test was first passed, and then the VAR (4) model was constructed according to the LR, FPE, AIC, SC and HQ standards. Compared with the impact of the stock market on the bond market, the bond market has less influence on the stock market.
Then, on the basis of the VAR model, the Grainger causality test, the impulse response function analysis and the variance decomposition are carried out. Under the confidence level of 95%, the inter bank bond market and the Shanghai stock bond market are mutually Grainger causality, and the Shanghai stock market is one way Grainger causality of the interbank state debt market. There is no significant causal relationship between the ticket market and the Shanghai stock market. The market has a quick response to the information produced by the market and is easy to absorb. In contrast, the response to the information from other markets is slow and difficult to be digested. The contribution of the stock market to the stock market and the contribution of the stock market to the national debt market. As far as the government debt market is concerned, the contribution of the Shanghai stock bond market to the interbank treasury bond market is higher than the contribution of the interbank bond market to the Shanghai stock bond market.
In the analysis of volatility spillover effect, the BEKK model is established, and the volatility of the three markets shows agglomeration, and the volatility spillover effect of the two bond markets in the Shanghai stock market is greater than the effect of the two treasury bond markets on the Shanghai stock market. And there are certain two-way fluctuations between the two countries' debt markets. In the aspect of dynamic correlation, we introduce the popular DCC model and the basic statistical description of the model AG-DCC. for the asymmetric impact of financial assets on the basis of the DCC model in 2006, and find that the results of the two are not very different, but from AG-DC The results of the C model can be further shown that the Shanghai stock bond market, Shanghai stock market and the inter bank treasury bond market will be affected by the new interest rate, and the three market returns are positively affected by the impact of new interest. The volatility of the three financial markets has strong persistence, and the asymmetric impact on the three markets The dynamic correlation has an impact.
At the end of this paper, a few suggestions are made to eliminate the division of national debt and promote the harmonious development of the national debt market and the stock market. Some shortcomings and shortcomings are also mentioned in this paper. It can be seen that the bond market and the stock market are mutually affecting. Only by achieving the harmony of the various markets can each market be healthy and stable. The development of the step.

【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F832.51;F812.5

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