| 股市与债市的相关性分析 |
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| 引用本文： | 张雪莹.股市与债市的相关性分析[J].山东工商学院学报,2005,19(5):34-39. |
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| 作者姓名： | 张雪莹 |
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| 作者单位： | 山东财政学院,金融系,济南,250014 |
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| 基金项目： | 山东省教育厅重点项目（J04T22） |
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| 摘 要： | 从通货膨胀率、经济周期和货币政策等方面探讨了我国股市与债市相关系数的变化及影响因素,认为,当通货膨胀率及其不确定性增加时,股指与债指相关系数下降,不会出现“当需要通过资产组合、分散投资来降低风险时,组合的效果却因资产间相关系数的增大而受损”的现象,应根据相关系数的变化动态调节资产配置结构中股票与债券的比例。
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| 关 键 词： | 相关系数 经济周期 通货膨胀率 资产配置 |
| 文章编号： | 1672-5956（2005）05-0034-06 |
| 收稿时间： | 2005-08-16 |
| 修稿时间： | 2005年8月16日 |
Analysis on the Correlation between Bond and Stock |
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| ZHANG Xue-ying.Analysis on the Correlation between Bond and Stock[J].Journal of Shandong Institute of Business and Technology,2005,19(5):34-39. |
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| Authors: | ZHANG Xue-ying |
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| Abstract: | Trying to explain the variation and affecting factors of bend and stock correlation by their common exposure to inflation rate, business cycle and monetary policy, we find that the correlation between bend and stock decrease when the inflation rate and its uncertainty get higher. There can not have the phenomenon that diversification and portfolio management are needed to decrease risk while their effects are actually hurt by the increase of stock-bend correlation. This means that the practitioners should dynamically adjust the allocation between bend and stock according to the variation of their correlation. |
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| Keywords: | correlation coefficients business cycle inflation rate asset allocation |
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