Research On The Linkage Of China's Sovereign CDS Market,Bond Market And Stock Market

After the financial crisis and the European sovereign debt crisis,sovereign credit risk has attracted wide attention from all walks of life.The sovereign CDS market measuring sovereign credit risk has also become the focus of concern of all countries.In recent years,China's financial market has developed rapidly,the process of market integration is accelerating,and the linkage between the financial sub markets is deepening.However,the uncertainty of China's economy and related policies exacerbated the fluctuation of financial market,which led to the increase of sovereign risk and attracted the attention of government and investors.Therefore,studying the linkage relationship between sovereign CDS market,bond market and stock market is very important for policymakers and investors to avoid risks,diversify investment and improve market efficiency.This paper mainly studies the linkage between the sovereign CDS market,the bond market and the stock market and its influencing factors.First,the linkage between different markets and the main factors that affect the linkage between different markets are analyzed theoretically.On the basis of theoretical analysis,this paper introduces some empirical methods to carry out empirical analysis.This paper selects the relevant data from January 1,2007 to December 31,2015 as the research sample,using Balcilar(2010)proposed Bootstrap rolling window estimation method to study the relationship between the sovereign CDS market,bond market and stock market,and based on the Logit model to analyze the important factors affecting the linkage relationship.The main conclusions of this paper are as follows:(1)There is no long-term stable linkage between the sovereign CDS market,the bond market and the stock market.(2)In the sovereign CDS market,bond market and stock market,there is a linkage relationship between any two factors in sub sample interval,and the direction of this linkage change is also changing with time.There is a lead lag relationship between sovereign CDS and stock market.The sovereign CDS market is ahead of the stock market,and there is a lead lag relationship between the sovereign CDS market and the bond market.In the half time,the sovereign CDS market takes the lead and the other half takes the lead in the bond market.There is only a leading lag between the stock market and the bond market in 2009,and the stock market is leading to a change in the bond market.(3)The macroeconomic factors and investor behavior factors linkage between the impact of sovereign CDS market,bond market and stock market,and affects the linkage relationship between sovereign CDS market and the stock market is greater than the impact on the relationship between sovereign CDS market and the bond market,bond market and the stock market.The innovation of this paper has two points: first is the domestic scholars' research on the linkage relationship between financial markets is very limited,most of them focus on the linkage relationship between bond market and stock market,and few studies have joined the fund market.For the first time to join a new market sovereign CDS market,the research on the comovement between the sovereign CDS market,the bond market and the stock market,added a new research perspective for the study of relationship between financial markets,enrich the research contents in this field.Second is the use of dynamic study of the relationship between sovereign CDS,rolling window inspection method based on Bootstrap bond and stock market,overcomes Grainger causality test method without considering the defect structure of breakpoints,changes can be more accurately capture the sub sample interval dynamic linkage relationship,which makes the results more reliable.