| Because of the differences of trading systems, custody systems, China’s corporate bond market is considered as segmentation. However, The number of cross-market bonds is growing quickly, and the custody transfer mechanism of cross-market has been established. Whether there is the flow of information between the sub-markets is worthy of further study. The return and volatility of one securities market are not only influenced by their own previous values, but also be influenced by previous return and volatility of another securities market, which is called return spillover and volatility spillover. The modernization of the capital market is a progress of eliminating market segregation and promoting the price discovery. It is meaningful of researching the spillover effects between the inter-bank market and the exchange market.In this paper, on the basis of theoretical and empirical review of relevant studies, I introduced the development status of corporate bond and the overview of the inter-bank bond market and the exchange bond market. Using the samples of SSE corporate bond index and Inter-bank corporate bond index from2010-4-21to2012-2-2, I build a BEKK-GARCH model to test the size, direction of the return and volatility spillovers between the inter-bank bond market and the exchange bond market. And the empirical conclusion is:there is significant volatility spillover and two-way flow of information between the two markets; there is significant return spillover from the exchange bond market to the inter-bank bond market; the dynamic correlation coefficient of the two markets is not stable, showing that the integration of the two markets is poor.Then, I further analyzed the empirical result and explained the spillover effects through the influence of the common investor, cross-market operations, trading systems. In the end of the paper, I analyzed the reason of the poor integration, and gave the corresponding suggestions of improving the integration of the two markets. |
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