中国与国际债券市场收益特征及联动性研究

国际债券市场联动效应是研究国际金融市场有效性的重要内容。本文对中国与国际债券市场收益波动特征及联动性进行了初步分析。结果表明,中国与不论发达国家债券市场还是其他新兴债券市场,都处于一定的分割状态。相对于中国,亚洲非资本管制型代表国家印度尼西亚与发达国家债券市场的相关性也较低,但与其他新兴市场国家的相关性则明显较强,反映了该国资本市场的开放性影响。金融危机期间,包括中国在内的全球债券市场之间表现出明显的波动同步性和溢出效应。

On Return Characteristics of Chinese and International Bond Markets and Their Linkages

The linkages between international bond markets constitute an important part of the study of the effectiveness of international financial markets. This paper makes a preliminary analysis of the return characteristics of Chinese and international bond markets and their linkages. The results show that Chinese bond market separates from the bond markets of developed countries and other emerging bond markets. In contrast to China, the bond market of Indonesia, a representative non-capital-regulation nation in Asia, has the weak correlation with the bond markets of developed countries, but the relatively strong correlation with other emerging bond markets, reflecting the openness effect of its capital market. During the period of financial crisis, global bond markets including Chinese bond market are featured by significant volatility synchronization and spillover effect.