The Studies Of Linkage Between China’s Stocks Market And The Corporate Bonds Market

Stocks and corporate bonds are two important means of financing when listed companies are financing. China’s stock market has gone through 20 years from its birth till now, and has now become one of the largest stock markets in the world. However, the first corporate bond,07 long power corporate bond, was issued in September 2007 by China Yangtze Power Co. Ltd, thereafter the corporate bond market developed domestically. In 2011, China’s corporate bond market ushered a growth spurt. China’s corporate bonds in 2008,2009 and 2010 were sold for RMB 28,8 billion, RMB 73,4 billion and RMB 51,1 billion respectively, while in 2011, 2012 and 2013, reached RMB 129,1 billion, RMB 249,2 billion, RMB 126,1 billion respectively. From January 1,2008 to February 28,2014, Shanghai and Shenzhen issued 445 corporate bonds, in total RMB 670,345 billion. The ratio of the corporate bonds financing amount once reached 69% in the equity class financing amount in 2012. The issuance of corporate bonds for financing has been chosen by more listed companies.The rapid development of corporate bonds will inevitably lead to the concerns of capital. The profit-driven nature of capital and its aversion to risk make the capital enter between the two markets frequently, therefore establishing a link between the two markets. In recent years, the rapidly developed financial products, trust products and portfolio funds, etc. combined by stocks and bonds, have strengthened the linkage between the stock market and the corporate bond market. Currently, the studies on the linkage between the stock and bond markets mainly focus on equities and corporate bonds, the inter-bank bond market or the overall bond market. As emerging bonds, corporate bonds are more closely connected with listed companies, but there are few studies on the linkage between its market and the stock market.This paper selected the CSI 300 Index and SSE Corporate Bond Index rate as the data indicators, the closing price from January 1,2008 to February 28,2014 as the statistical sample, and adopted VAR model, multivariate GARCH model to study the linkage of the fluctuant yields between the CSI 300 Index and the Corporate Bond Index. The results showed that:(1) The yield fluctuation of Corporate Bond Index and that of the CSI 300 Index can had a significant impact on each other during the entire sample, indicating the symmetrical volatility spillover effects between them.(2) The yield fluctuation of Corporate Bond Index and that of the CSI 300 Index can had a reverse impact on each other, indicating the "seesaw" effect between their fluctuations.(3) The conditional correlation of the Corporate Bond Index yield and the CSI 300 Index yields was time varying. It showed a weak positive correlation between each other in 2011, and after 2011, an obvious negative correlation between them.