| 中国债券市场与股票市场间波动溢出效应——基于SJC-Copula模型的分析 |
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| 引用本文： | 肖利平.中国债券市场与股票市场间波动溢出效应——基于SJC-Copula模型的分析[J].证券市场导报,2011(9). |
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| 作者姓名： | 肖利平 |
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| 作者单位： | 武汉大学经济与管理学院; |
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| 摘 要： | 本文基于SJC-Copula模型分析债券市场和股票市场间的波动溢出效应,并以此进一步分析波动溢出效应对债券市场风险规避能力的影响。研究选取2003年3月31日至2009年8月31日中信标普国债指数日数据和上证指数日数据,验证了两市波动溢出效应的存在性,同时发现波动溢出效应显著增强了债券市场规避风险的能力。
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| 关 键 词： | SJC-Copula模型 波动溢出效应 金融传染 债券市场 |
Volatility Spillover Effect Between China Bond Market and Stock Market: Analysis Based on the SJC-Copula Model |
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| Xiao Liping.Volatility Spillover Effect Between China Bond Market and Stock Market: Analysis Based on the SJC-Copula Model[J].Securities Market Herald,2011(9). |
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| Authors: | Xiao Liping |
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| Institution: | Xiao Liping |
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| Abstract: | This paper studies the volatility spillover effect between bond market and stock market based on the SJC-Copula model,and also analyzes the influence of volatility spillover effect on the risk avoidance ability of bond market.The studied data are daily data of S&P/CITIC Government Bond Index and SSE Composite Index from March 31,2003 to August 31,2009.The existence of the volatility spillover effect in these two markets is confirmed,and it is also showed that the volatility spillover effect significantly en... |
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| Keywords: | SJC-copula model volatility spillover effect financial contagion bond market |
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