An Empirical Study On The Relevance Of China's Stock Market And Bond Market

In recent years,with the driving of a series of favorable regulatory policies,the asset management market in China has grown rapidly.The two major basic assets,stocks and bonds,play a decisive role in asset alocation.Their correlation directly affects the effectiveness of asset allocation.In addition,from the perspective of risk supervision,the stock and bond markets are the most important components of the financial market,and their relevance will also have an important impact on financial systemic risks.Therefore,clarifying the correlation between the stock market and the bond market is of great significance to both asset allocation and financial supervision.In the theoretical analysis part,this paper discusses the causes of the correlation,analyzes the internal economic logic of its relevance based on the pricing model of stocks and bonds,and discusses the important factors that may have an impact on the correlation from the perspective of expected cash flow and discount rate.In the empirical analysis section,this paper uses the CSI 300 Index and the China Bond Comprehensive Net Price Index as representatives of China's stock market and bond market,and establishes the DCC-MGARCH model to perform daily correlation coefficients between 2005 and 2017 in China.In order to enhance the horizontal comparability,this paper also makes a comparative analysis of the U.S.market data.Finally,this paper establishes a multiple regression model and analyzes the factors that influence the dynamic correlation coefficient of China's stock market and bond market.The research results show that the overall correlation of China's stock market is weak,dynamic correlation coefficient changes frequently between positive and negative,and most of the time is positive,and there is a phenomenon of greater volatility in certain periods.The U.S.equity market and bond market have a strong negative correlation.The empirical analysis results of the influencing factors show that there is a strong serial correlation in the dynamic correlation coefficient and it shows a short-term positive correlation and a long-term negative correlation;the interest rate and its volatility have a significant positive effect on the correlation coefficient,and macroeconomic uncertainty and economic growth have negative effects,and the impact of inflation on the correlation coefficient is not significant.Finally,based on the results of empirical research,this paper presents several policy recommendations for government departments and market investors.