Price Volatility And Return Conintegration On The Exchange Bond Market

Frequent fluctuation of security price is the most remarkable characteristic, fluctuation means risk, which is measured by the deviation between actual return and expected return, So it is important to measure the risk and the component of risk for designing the reseanable assets management strategy and risk management strategy. Now our security varities listed in Shanghai and Shenzhen security exchange (ended by Oct.2003), thereinto 89 percent is stock, 6.5 percent is fund, and 4.5 percent is bond. A large number of quantitative papers are focused on stock market and fund market.Research papers on bond market is very scarce. Tradional methods and means-variance method are mainly used in choosing investment variety and actualize risk management and so on.These methods usually do not consider the conditional expected return and conditional variance, but the unconditional expected return and unconditional variance.So they ignored the dynamic relation between risk and risk .return and return. The paper support the point of view, that is to say, risk is caused by the undeterministic and unforcastable changes in price ,not the deterministic and forcastable changes. So it started from the exchange bond market. First it supposes that the index return of Shanghai exchange national bond market, corporation bond market,convertible bond market, Shanghai exchange national bond repurchasing market, and Shanghai stock market follow the Generalized Error Distribution(GED). Then it deeply analyzed the residual volatility of each index return series regressed by EGARCH model, compared the price volatility characteristic about each market, and measured the risk using the variance-covariance VaR method. At last the paper made the Granger test and Cointegration test between Shanghai exchange national bond repurchasing market and Shanghai exchange national bond market, also Shanghai exchange national bond repurchasing market and corporation bond market ,then it reached the conclusion as follows:l.As to fluctuation risk of each market, the form of fluctuation of Shanghai exchange national bond market is similar to exchange corporation bond market, and market risk of the latter is higher than the former. The risk of the two markets changes seasonally, but the period is not changeless. The cycle of Shanghai exchange national3bond market keeps five to nine months and corporation bond market is 1.3 years to 1.8 years. To convertible bond market, its market risk is higher than the national bond market and corporation market, and its fluctuation form is similar to Shanghai stock market, but the market risk of convertible bond market is lower than the Shanghai stock market. To the national bond repurchasing market, its market risk keeps stable, and its market risk is a little higher than the convertible market. During the sampling course, the volatility of return series on each market has the asymmetry effect or feed back effect.2.The exchange bond market is not an efficient market.3.The exchange corporation market has obvious positive risk premium, and the premium rate is higher than the Shanghai stock market, Shanghai exchange national bond market has faint market risk premium, but Shanghai exchange national bond repurchasing market and corporation bond market exist obvious negative risk premium.4.In the GED presupposition, the VaR estimation is accepted by the tail probability, and the losing number which exceeds the VaR limited in the test area. So AR(1)-EGARCH-M-GED model is effective to the estimation of exchange bond market, and the VaR estimation result is identical with the volatility estimation. Besides this, the exchange bond market maximum risk roots in the frequent changes in policy .5.Shanghai exchange short and long repurchasing return series change reversly with corporation bond market return series and Shanghai exchange national bond market return series, but medium repurchasing return seriers is consistent with the corporation bond market return series and Shanghai exchange national bond market return serie...