The Research On The Comovement Between The Stock Market And Bond Market In China

Stock market and bond market are two important components of finance market, now, China's finance market is in a period of rapid development, the effectiveness of finance market internal financial resources allocation, the possibility of the two markets to achieve the best allocation of the investment portfolio, all of the above will determine the whole finance market's efficiency and the process of reform. From the reality of our country's situation, the development of stock market and bond market in direct financing system is not balanced, and it has become one of the serious problems.Whether there is comovement relationship between stock market and bond markets will reflect the effectiveness of the whole finance market and monetary policy. Therefore, the study on comovement of China's stock market and bond market, a correct understanding of the mechanism of interaction between the two markets, will be a key of China's financial system reform and further development.The purpose of this thesis is to explore whether there is comovement relationship between stock and bond market, and what macroeconomic factors affect the relationship. The comovement relationship in this thesis includes long-run equilibrium relationship, the deviation from the equilibrium and short-term Granger causal relationship, on this basis to explore the macroeconomic factors and institutional factors'impact on the comovement relationship.First, this thesis makes a introduction of basic theories, including the financial market comovement theory, asset allocation theory, then analyzes macroeconomic factors'impact on the comovement relationship, explore macroeconomic factors including interest rates, inflation level, the volume of money supply, exchange rates, the total economic amount'effects of on stock and bond markets comovement relationship.Taking into account the data characteristics and policy factors, this thesis conducted a sub-sample data, and making separately research in the empirical analysis of the two sub-samples. First, test the existence of long-run equilibrium relationship through the establishment of vector autoregressive model, then study the impulse response function, variance decomposition, set up cointegration equation through the EG two-step. Second, study deviation from the equilibrium state of adjustment through set up the cointegration regression, parameter replacement and parameter estimation, error correction model. Third, research the short-term causal relationship through adopting the AIC information criteria setting the optimal lag, explore the short-term causal relationship between the two markets.After separately analysis of the two sub-samples, the thesis examined the macroeconomic factors and institutional factors'impact on the relationship between the two markets through the data analysis of a smooth, Johansen cointegration test, vector error correction model, taking the macroeconomic factors and institutional factors into the model, examining its relations between stock and bond index yield.As reflected in the empirical analysis, the comovement relationship has changed from both sub-samples, and the sub-sample I shows more obvious relationship than the sub-sample II. The macroeconomic factors'impact on the relationship is different between the two sub-samples, the main influencing factors have CPI, exchange rate fluctuations, the inter-bank lending interest rates and money supply.Finally, in the mature markets of foreign advanced experience and theoretical analysis and empirical research on the foundation, this article on China's financial markets, the development of policy recommendations that continue to promote market-oriented interest rate reform, set up a multi-level stock market and promote the unity of the bond market, strengthening financial supervision, to vigorously develop institutional investors and so on.