Research On Dynamics Relationship Between Stock Market And Bond Market

Nowadays,stock market and bond market have become the largest market in Chinese capital markets.Until 2018 March,there was 7.9 billion coupon bond has been issued in the bond market,which means bond markets not only provide a great investment place for the investor but also became a platform for company to fund.But from the present situation,there was great division between stock and bond market.Usually,there should be a close relation between stock and bond market in a mature system,and any system should not be exist in a single position.The volatition and change should be influenced by other markets.The mutual relation should provide a great function about evade risk and increase income.We select the data from the end of 2006 to the end of 2017,the range of the data include the 2008 International Finance Crisis and 2015 stock market disaster.In data selection,I select Hushen 300 presenting the stock market and China bond composition and Band Index as the proxy of bond market.Through using DCC-MVGARCH model,I analyse the realtion between the stock and bond market.The result show that stock and bond market having great relation in International Finance Crisis.The relation has great shock between-0.5 and 0.5.Futherly,I use Wavelet analysis to exam the relation between stock and bond through time and frequency dimensions.I select five index including M2,GDP,CPI and interest rate as the macro index.Use liquidity and volatition of the stock market as the proxy of misco index.Through using VAR model,I conclude the impact of variable to relation.The result show that,in the whole sample,the extent of reaction of index is almost the same to the impulse of liquidity,CPI and interest rate.However the impulse of volatition and liquidity of stock market are more significant to the relation.As for the performance of the International Finance Crisis,the relation are more sensitive to the volatition of the stock market and the liquidity of money.The results show that from the long term,the relation between the stock and bond market are not strong and only in the crisis term,there will be negative or positive relation.This means the capital markets in our country are not mature,and there are a lot of friction and unmature.As the most important funding and investing markets,stock market and bond market do not generate the function of capital allocation.