中國股市和債市溢出效應在牛熊市中的異化現象

汪冬華 雷曼 阮永平 汪辰

摘 要：本文按照上證綜合指數的走勢將2005年6月6日至2008年10月28日的整個樣本區間劃分為牛市和熊市兩個樣本子區間，采用樣本子區間內的上證綜合指數和中債總指數的對數收益率日數據，通過VAR(p)-BVGJR-GARCH(1,1)-BEKK模型實證分析了不同市態下中國股市和債市間溢出效應的異化現象。結果顯示，在牛熊市中，我國股市債市間不存在均值溢出效應，但兩市場間的波動溢出效應存在著顯著差異。牛市時期，兩市場間存在雙向的波動溢出效應，但一個市場的條件方差對另一市場負沖擊不存在非對稱效應。而熊市時期，兩市場間只存在股市對債市的單向波動溢出效應，且一個市場的條件方差對另一市場負沖擊均存在非對稱效應。

關鍵詞：牛市；熊市；股票-債券市場；溢出效應；VAR-BVGJR-GARCH-BEKK模型

中圖分類號：F830.9 文獻標識碼：A 文章編號：1003-5192(2012)04-0046-07

Dissimilation of Spillover Effect among the Chinese Stock Market and Bond

Market between Bull and Bear Markets

——An Empirical Research Based on the Shanghai Composite Indexand the China Bond Assembled Index

WANG Dong-hua1, LEI Man1, RUAN Yong-ping1, WANG Chen2

(1.The Financial Engineering Research Centre of Business School, East China University of Science and Technology, Shanghai 200237, China; 2.Viterbi School of Engineering, University of Southern California, Los Angeles, CA 90089, USA）

Abstract:In this paper, the whole sample period is divided into two periods from 6 June 2005 to 28 October 2008, one is bull market period and another is bear market. Using the daily log return of the SHCI and the CBAI between bull and bear markets, we empirically analyze the dissimilation of spillover effect between the Chinese stock market and bond market in different market states with VAR-BVGJR-GARCH-BEKK model. The empirical results demonstrate that there arent significantly mutual mean spillover effects in the Chinese stock market and bond market between bull and bear markets, but distinct difference exists in the volatility spillover effect within the two financial markets between bull and bear markets. In bull market, there are remarkably the bidirectional volatility spillover effects between the two markets, whereas there isnt the response of the one market to the negative shocks of the other market. However, in the bear market, we find evidence of unidirectional volatility spillovers from the Chinese stock market to the Chinese bond market, and there is the response of the one market to the negative shocks of the other market.

Key words:bull market; bear market; stock-bond market; spillover effect; VAR-BVGJR-GARCH-BEKK model

1 引言

在經濟全球化和金融自由化的背景下，作為我國金融體系的兩大重要子市場，股票市場和債券市場間的相互聯系與影響應更加緊密。股市債市間此種關聯性多數源于兩市場間的溢出效應。兩市場間的溢出效應包括均值溢出效應和波動溢出效應。股市債市間均值溢出效應是指兩市場收益的信息傳導，可用來反映股市債市間領先和滯后的關系；而波動溢出效應是指兩市場波動的信息傳導，能較好地刻畫股市債市間波動傳導的途徑和方向，反映市場之間的信息流動過程和相互作用機理。我國股市債市間的溢出效應可以較為全面地體現兩個金融市場之間的風險傳遞狀況。……