本文關(guān)鍵詞： 股票市場 債券市場 溢出效應(yīng) VEC模型　出處：《安徽大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：股票市場和債券市場是我國金融市場的重要組成部分,近十幾年我國股票市場和債券市場的發(fā)展都取得了一定的成就。然而兩個市場的發(fā)展并不是一帆風(fēng)順,股票市場在2007年至2008年和2015年先后經(jīng)歷兩次大漲大跌;債券市場同樣在2008年和2016也經(jīng)歷大的波動。這些事情暴露了我國股市和債市存在著一些問題。不僅會對投資者和投資機(jī)構(gòu)的資產(chǎn)配置造成影響,而且有可能會使得投資者和投資機(jī)構(gòu)對我國的金融市場的發(fā)展失去信心,并有可能成為制約金融市場、資本市場可持續(xù)發(fā)展的障礙。目前我國正處于改革深化的關(guān)鍵時期,兩個市場之間能否進(jìn)行有效的資源配置決定著整個證券市場的效率。因此我們有必要對股票市場與債券市場之間的溢出效應(yīng)進(jìn)行研究。本文研究的主要目的是探求我國股票市場和債券市場之間是否存在相互的溢出效應(yīng),并基于對溢出效應(yīng)的研究來判斷目前我國股票市場和債券市場能否最為有效的實(shí)現(xiàn)資產(chǎn)配置,能否最為有效的化解市場的風(fēng)險�；诖搜芯磕康�,本文采用了理論和實(shí)證相結(jié)合的分析方法。首先介紹了國內(nèi)外學(xué)者對股票市場與債券市場之間關(guān)系的研究成果。國外的研究起步較早,成果較為豐富;國內(nèi)的研究雖然起步較晚,但發(fā)展比較快。隨后,本文介紹了溢出效應(yīng)的內(nèi)涵與測度方法,重點(diǎn)闡釋了股票市場與債券市場之間形成溢出效應(yīng)的原因,以及兩個市場之間溢出效應(yīng)的傳導(dǎo)機(jī)制,和宏觀因素對溢出效應(yīng)的影響。最后進(jìn)行了美國和我國股票市場與債券市場之間溢出效應(yīng)的現(xiàn)狀分析。本文的實(shí)證部分選取了 2005年11月1日到2016年10月31日的數(shù)據(jù)。首先通過建立向量誤差修正模型(VEC)對股票市場與債券市場之間的溢出效應(yīng)進(jìn)行研究,探討溢出效應(yīng)的大小。然后通過利用Johansen協(xié)整檢驗(yàn)對四個宏觀經(jīng)濟(jì)變量與兩個市場之間的溢出效應(yīng)進(jìn)行研究,探討宏觀經(jīng)濟(jì)變量對溢出效應(yīng)的影響。最后得出結(jié)論:我國股票市場和債券市場之間存在著比較弱的溢出效應(yīng),說明目前我國股市與債券市場理論上還不能實(shí)現(xiàn)最優(yōu)的資產(chǎn)配置,在這兩個市場進(jìn)行資產(chǎn)配置還不能夠最為有效地分散市場的系統(tǒng)風(fēng)險。并結(jié)合現(xiàn)狀分析,就我國證券市場的發(fā)展提出了四點(diǎn)政策建議。
[Abstract]:Stock market and bond market are important parts of financial market in our country. The development of stock market and bond market in our country has made some achievements in recent years. However, the development of the two markets is not smooth sailing. The stock market experienced two big rises and falls from 2007 to 2008 and 2015. The bond market also experienced a lot of volatility in 2008 and 2016, which exposed some problems in China's stock and bond markets. It will not only affect the asset allocation of investors and investment institutions. And it may make investors and investment institutions lose confidence in the development of China's financial market, and may become a constraint on the financial market. The obstacle of sustainable development of capital market. At present, our country is in the key period of deepening reform. It is necessary to study the spillover effect between the stock market and the bond market. The main purpose of this study is to explore the efficiency of the securities market. Whether there are spillover effects between stock market and bond market in China. And based on the study of spillover effects to determine whether the current stock market and bond market can achieve the most effective asset allocation, the most effective solution to market risks. This paper introduces the research results of domestic and foreign scholars on the relationship between stock market and bond market. Although the domestic research started relatively late, but the development is relatively fast. Then, this paper introduces the connotation of spillover effect and measurement methods, focusing on the stock market and bond market between the formation of spillover effect reasons. And the transmission mechanism of spillover effect between two markets. Finally, the paper analyzes the current situation of spillover effect between the stock market and bond market in the United States and China. Data from November 1st 2005 to October 31st 2016. First, by establishing vector error correction model (. VEC) to study the spillover effect between stock market and bond market. Then we use Johansen cointegration test to study the spillover effect between the four macroeconomic variables and the two markets. Finally, the conclusion is drawn that there is a weak spillover effect between the stock market and the bond market in China. It shows that at present our stock market and bond market can not realize the optimal asset allocation theoretically, and the asset allocation in these two markets can not spread the market system risk most effectively. This paper puts forward four policy suggestions on the development of China's securities market.
【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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