The Analysis Of Relationship Between Stock Market Fluctuation And Bond Market Fluctuation

The finance market of China has stepped into a period of rapid development. As the essential parts of the finance market, the stock market and the bond market play a role of resources collocation, while the efficiency and the course of finance reform depend on whether the two markets can realize the perfect collocation of investment combination. However, the current situation shows that the direct financing system can't keep a balance between stock market and bond market, which has become the most serious question in the market. Therefore, the study of relationship between stock market and bond market is the key to finance reform.The paper discloses some rules of the relationship by which Chinese stock market and bond market fluctuate, it's aimed to earn a proper comprehension of the mechanism that two markets act each other , also the paper will give a academic support to the finance market's reform. The paper is begun with Grander Inspection Model, then analyses that if the two markets have consequence relationship , that is ,to judge whether the fluctuation of one market is the reason of the other. After getting a conclusion that there is no consequence relationship between them, the paper extends the logical scope of relationship to analyze if they have pertinence. The data in the paper are quoted Chinese bond exchange index(from May.1998 to Dec.2003) and Shanghai stock exchange index(from May.1998 to Dec.2003).Through ARCH Model we can get a conclusion that two markets have pertinence relationship . The fifth part of paper gives a separate analysis the effects of the main factors---Rate, money supply and price index to the stock market and bond market.The paper is aimed to give a new way to the research of this question, to show our focus on this kind of thesis, which will have great benefit on resolving the unbalance of the scale between two markets.