The Research On Return Comovement And Liquidity Comovement Between Stock And Bond Markets

A mixed stock and bond portfolio is a traditional and widely used investment portfolio in the field of securities investment. In order to achieve maximum return with a minimum degree of risk, it is important to study the comovement between these two assets. Firstly, it can help investors to accurately price assets. Secondly, it can influence investors'investment decisions, and help investors to reap larger diversification benefits. Thirdly, it can help policymakers to develop sound policies, because policies directed primarily at one component of such portfolio could have unintended consequences for the other. For the security market, what we care about most are return and liquidity. Therefore, it's important to analyze return comovement and liquidity comovement between stock and bond markets.The purpose of this dissertation is to explore whether return comovement and liquidity comovement exists between stock and bond markets, what kind of comovement exists therein, and what macroeconomic factors affect these comovement. The comovement relation in this dissertation includes reciprocally effects, long-run cointegration, Granger causality, leading and lag relation and time-varying correlation between the return and liquidity of stock and bond markets.This dissertation performs theoretic analysis of the joint stock-bond pricing model. By studying these models, the common factors, which affect the return of stocks and bonds, are explored. This dissertation also theoretically analyzes the potential impact of macroeconomic factors on the return comovement of stocks and bond markets, such as interest rate, inflation, money supply, industry added value, the enterprise prosperity index, and so on.Shanghai Securities Exchange has begun to publish Treasure bond index since 2003. Using a similar method, a new Shanghai bond index which dated from 1997 is compiled. Based on the new bond index, the return comovemnet between stock and bond markets is analyzed. The empirical results show that the returns of stock and bond markets interacts in the long run, and there exists a leading and lag relation between them. The month correlation between the return of stock and bond markets is time-varying, which can be described and predicted with some models. The month correlation is also explained by some macroeconomic factors.By comparing various liquidity measures, a liquidity index is compiled, which can measure consistently the liquidity of Chinese stock and bond markets, and compare the...