基于多分辨分析的股市与债市溢出效应研究

运用多分辨分析研究我国股市与债市溢出效应,对两市收益率序列作信号分解,分解为高频信号和低频信号,比较各层信号占原始信号的能量比发现,股市高频信号占原始信号的能量比远大于低频信号,而债市高频信号和低频信号所占能量比基本持平,从而说明了我国股市主要受短期因素影响,波动较大,而债市波动较小。高频信号的Granger因果关系检验表明,股市与债市之间存在溢出效应,但溢出效应是单向的,即只存在股市向债市的溢出效应,这与债市作为金融市场的＂避风港＂有关。

Research on Spillover Effect between the Stock Market and the Bond Market Based on Multi-resolution Analysis

In this paper,the spillover effect between the stock market and the bond market in China was studied by multi-resolution analysis.The daily return time series were decomposed into high-frequency signal and low-frequency signal.The energy proportions of different frequency components to the original signal were compared,the results show that the high-frequency signal represents much more energy than the low-frequency signal in the stock market,but the high-frequency signal is as the same as the low-frequency...