我国股票市场和债券市场波动溢出效应分析

摘要

本文采用2006年11月至2011年2月沪深300指数与中国债券总指数对数收益率的Et度数据，基于股票市场牛市、熊市、反弹、震荡等行情，分别运用BEKK—MGARCH模型分析了股票市场和债券市场之间的波动溢出效应。研究结果表明：股票市场和债券市场的波动均具有显著的ARCH效应，不同行情下，两市场之间的波动溢出效应具有明显不同的特征：当股票市场处于牛市或熊市行情时，只存在股票市场向债券市场的单向波动溢出效应；当股票市场处于反弹行情时，两市场之间不存在波动溢出效应；当股票市场处于震荡行情时，两市场之间存在双向波动溢出效应。%In order to better research the volatility spillover eflect between the stock market and the bond market in China and provide operational investment strategy to investors, this-paper uses BEKK-MGARCH model to study the volatility spillover effect based on the different stock market condition （bull, bear, rebound, shock） using the daily log return of the Hushen 300 Index＇s closed price and the China Bond Aggregate Index during November, 2006 and February, 2011. The results show that the fluctuation of the stock market and the bond market has significant ARCH effect. The volatility spillover effect between the two markets has obvious different characteristic when the stock market in different conditions. The volatility spillover effect exists only from the stock market to the bond market when the stock market in a bull or bear condition. The volatility spillover effect not exists between the two markets when the stock market in a rebounding condition. There exists two-way volatility spillover effect between the two markets when the stock market in a shock condition.