Research On China’s Stock And Bond Markets’ Yields And Volatility Spillovers:Based On The Empirical Study Of The VAR(P)-MGARCH-BEKK Model

With the rapid development of China’s financial markets, more and more investment products, Information spillovers between financial markets is so important for the analysis of signal transduction, the choice of portfolio strategy and risk management. From our current situation, the stock market and bond market is not coordinated development. Linkage between the stock market and bond market is weak, reflecting financial market inefficiencies, excessive administrative intervention of the monetary policy. Study the stock market and bond market yields and volatility spillovers, depth understanding of the interaction mechanism, will be so important for further deepen the reform of financial markets and development.This thesis aimed to explore whether there is imformation spillovers between stock and bond market, and what macroeconomic factors affecting the effects. At last, according to the conclusions I put forward relevant policy recommendations. This thesis involves the stock market and bond market linkage relationships, including its long-run equilibrium relationship, adjustment for deviations from equilibrium relationship and Short-term causal relationship.First, this paper makes a introduction of basic theories, then explores the impact of the stock market and bond market common factor, detailed analysis of four macroeconomic indicators’(such as the interest rate, inflation rate, money supply and exchange rates) effects on the stock market and bond market comovement relationship. On the empirical analysis part, firstly, test the correlation’s existence between stock and bond markets’ information spillovers through establishing VAR(P)-MGARCH-BEKK model, impulse response functions, Granger causality and variance decomposition. The empirical results show that stock and bond markets’ correlation is weak, sometimes positive, sometimes negative, the two markets is not balanced. The thesis examined the macroeconomic factors’ impact on the stock market and bond market correlation coefficient through vector error correction model to exam its relations between macroeconomic factors and the correlation. At last, based on the theoretical analysis and empirical study, some policy suggestions regarding to the future development of financial market are raised.