The Relationship Between Stock Market And Bond Market An Empirical Study On China

There are a lot of domestic researches studying on relationships between stock market and bond market qualitatively but not quantitatively. Generally, this kind of research is lack of empirical support and evidence. This dissertation employs the sample from Jan.4, 2000 to Dec.31, 2004 and studies the relationships between stock market and bond market statically and dynamically, using unit root test, cointegration test and variance decomposition. Besides, we divide the whole sample into three parts to do the test, respectively. The empirical results show that there is no relationship between stock market and bond market in terms of long term; and there is positive relationship between two markets in some divided sample and negative relationship in other divided sample. The main reasons are that our securities market has not developed completely and is lack of normal system, and our government is involved in it too much. Chinese stock market and bond market are not good for the long term investors who want to avoid risk through co-moving between two markets.