Font Size: a A A

Reasearch On The Comovement Between Hushen Stock Market And Bond Market

Posted on:2016-11-20Degree:MasterType:Thesis
Country:ChinaCandidate:S Y HeFull Text:PDF
GTID:2309330479486886Subject:Finance
Abstract/Summary:PDF Full Text Request
With the development of economic globalization, interdependence and mutual influence between different financial markets increase. Security market presents the coordinated trend. This sort of coordinated trend makes the research on the correlation between different security markets become more and more important in financial application.Stock and bond market are the two major investment market. And the portfolio of stocks and bonds is also a kind of common way of investment. In mainland China, there are two stock exchanges, which are the Shanghai stock exchange and Shenzhen stock exchange. There are differences between companies listed on the two stock exchanges, so the stocks they issued contains different risks. The main purpose of this paper is to explore whether there is some sort of link between stock market(namely Shanghai stock market and Shenzhen stock market)and bond market. If the correlation exists, I will go on further study about whether there are differences between the two correlation.Based on the analysis and summary of domestic and foreign scholars’ research about the stock and bond markets, we firstly analyse the mechanism of comovement between these two kinds of markets. Then we collect data of Shanghai composite index, Shenzhen composite index and CSI aggregate bond index from January 4th, 2007 to December 31 th, 2014, putting these data into SVAR model to explore the correlation between stock market and bond market. Finally through a series of tests which are Granger causality test, impulse response and variance decomposition, we get the following conclusion: firstly, the correlation between stock market and bond market exits, but this sort of link is not significant; secondly, the interaction between these two markets is asymmetric, the bond market’s influence on the stock market is greater than the stock market’s influence on the bond market; thirdly, the correlation between Shanghai stock market and bond market is greater. At the end of the paper, we give our own opinions on the basis of theoretical analysis and empirical analysis.
Keywords/Search Tags:Shanghai and Shenzhen stock market, bond market, comovement, SVAR model
PDF Full Text Request
Related items