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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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Stock market and bond market are widely considered as two important components of the financemarket. During the rapid development of China's financial market, the effectiveness of finance marketinternal financial resources allocation and the possibility of the two markets to achieve the bestallocation of the investment portfolio will determine the whole finance market's efficiency and theprocess of reform. As a result, the study on the relationship between the stock and bond market isimportant. There are a number of domestic researchers studying on the relationship between the stock marketand bond market in China whereas most of these studies used the treasury bond to represent thewhole Chinese bond market. In order to explore the linkage between stock market and bond marketstatically and dynamically, this paper selects three series of data including stock index, treasury bondindex and corporate bond index covers from September 10, 2013, to September 11, 2016, using unitroot test, cointegration test, AR roots, impulse response analysis, variance decomposition based onVAR and VEC model. Besides, we divide the whole sample into two groups to do the analysisrespectively. The limits of the
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참고문헌 (18)
참고문헌 신청
Campbell, J. Y / 2002 / Equity Volatility and Corporate Bond Yields / Journal of Finance 58(6):2321~2349
Campbell, J. Y / 1993 / What moves the stock and bond markets? A variance decomposition for long term asset returns / Journal of Finance 48(1):3~37
Chiang, T. C / 2015 / Dynamic stock–bond return correlations and financial market uncertainty / Review of Quantitative Fiance Accounting 45:59~88
Chordia, T / 2005 / An Empirical Analysis of Stock and Bond Market Liquidity / Oxford University Press
Engle, R. F / 1987 / Granger Co-Integration and Error Correction: Representation, Estimation and Testing / Econometrica 55(2):251~276
Campbell, J. Y / 1993 / What moves the stock and bond markets? A variance decomposition for long term asset returns / Journal of Finance 48(1):3~37
Chiang, T. C / 2015 / Dynamic stock–bond return correlations and financial market uncertainty / Review of Quantitative Fiance Accounting 45:59~88
Chordia, T / 2005 / An Empirical Analysis of Stock and Bond Market Liquidity / Oxford University Press
Engle, R. F / 1987 / Granger Co-Integration and Error Correction: Representation, Estimation and Testing / Econometrica 55(2):251~276
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