Research On The Optimal Allocation Of Funds In Stock Market And Bond Market

In the past ten years, our country stock market and bond market has obtained the sustainable development, two markets have also been increasingly become a very important market in the capital market in China. After 20 years development, along with our country-economy and the continuous improvement of residents’ disposable income, resulting in a large number of idle funds flowing into the capital market. Stock market and bond market, the first choice of investors to circumvent the risk of a single market price fluctuations, investors will be diversification in the two markets, in order to achieve maximum profits. Therefore, from the revenue and avoid risk, these two stocks and bonds as the most basic way of portfolio, the relationship between the two markets will affect the investors construct a portfolio of risks and benefits. The research of this paper is based on the portfolio strategy, the stock market and bond market volatility between the empirical research, and for the construction of the asset portfolio investors, and provides Suggestions for risk management.This study selected the HS 300 index and the total Chinese bond index as indicators of the empirical part of the sample data, choose on October 8,2010 to December 16,2014 in the period of the daily closing price as the sample data. Based on the sequence of yield of the stock market and bond market as well as the correlation test, implementing stationarity test and integrated application of the ARCH model and BEKK-MGARCH model, it is concluded that the Chinese stock market and bond market, yield characteristics and correlated characteristics between the two markets. The last cyclical capital allocation strategy for investors in the distribution of the two markets to give advice. The results show that:(1) In the sample data, the stock market and bond market volatility has time-varying and integration of these two kinds of features, and compared with the bond market in our country the daily average and standard deviation of the logarithm yield of the stock market two indicators are relatively large, this suggests that the Chinese stock market although this characteristic with high yield, but the risk is relatively high, which fully reflects the financial markets is one of the basic characteristics of the high risk high profitability.(2) Between Chinese stock market and bond market has the linkage effect, not only changes in the stock market daily yield’s influence on the bond market yield changes daily,and also the existence of the bond market yields daily changes impact on stock market daily yield changes, that is to say, the stock market and bond market is a linkage between the effect.(3) When the stock market is in decline, during this period of capital investors tend to bond assets should be fixed to increase profitability, and reduce its shares of riskier assets, so that it can reduce risk assets allocation to a certain level, so as to realize the low risk of portfolio investment; And when the stock market is low volatility period, investors will need through improve the holdings of fixed-income assets, reduce the holdings of risky assets stock. While if the rise in the benchmark interest rate of market, the investors need to reduce its long-term fixed profitability of assets and increase the short-term investment assets held; If lower the benchmark interest rate of market, investors need to increase the holding long-term fixed profitability of assets. And when the stock markets rose in this period, investors should increase the proportion of asset allocation for all kinds of stock, at the same time reduce the allocation of securities held fixed profitability, it ensures that under a certain level of risk portfolio yield improvement.