The Asymmetric Volatility And Dynamic Correlation Analysis Of Stock,National Bond And Corporate Bond

The asset portfolio of stock, national bonds and corporate bonds is more and more popular,thus the analysis of volatility and risks to the index returns is crucial for asset combination.Basing on the volatility annalysis of stock, national bonds and corporate bonds,chapter two drew the asymmetrical curve of information impact,through the graph and curve,we can see the curve of corporate bonds and national bonds is similar,the influence of negative impact is greater. The trend of the curve stock market returns is inverse,the influence of active impact is greater.Through the model of VAR, chapter three analyze the dynamic shocks of Random disturbance to the three time series system.Using six macroeconomy variables, chaprer four examine which factors can cause dynamic corrlation by conducting time series regression. At last, I found the factor of fdc is critical to all the three dynamic corrlations.The number of factors have strong influence to the correlation between national bond and corporate bond,is the same to the factors which are crucial to the correlation between national bond and stock,and the number is three.The factors important to the correlation between corporate bond and stock is five, more than the factors which can effect the correlation between the other markets.This demonstrate the channel of information flow between stock and corporate is wide than the channels of other markets.Through programming I drew the break point graph of dynamic correlation,the dynamic correlation between corporate bond and national bond is closer,through the ADF test I document there is a significant structural break in the correlations caused by recent financial crisis.Through the time series regression and the research of asymmetric volatility and dynamic correlation among the monthly index returns of stock,corporate bonds,and national bonds, the results and conclusions has critical mean to the portfolio of stock and bonds,diversification potential and the finance supervision.