The Research Of Spillover Effect Between Chinese Stock Market And Bond Market

The stock market and bond market is an important part of China’s financial market,the stock market and bond market in China have made some progress in recent ten years.However,the development of the two markets is not smooth,stock market in 2007 to 2008 and 2015 has experienced two times jump down;the bond market in 2008 and 2016 also experienced large fluctuations.These things exposed the Chinese stock market and bond market there are some problems.Will not only affect the allocation of assets of investors and investment institutions.And it may make investors and investment institutions to lose confidence in the development of China’s financial market.And it may be an obstacle to the sustainable development of financial market and capital market.At present,our country is in a critical period of deepening reform,whether the effective allocation of resources between the two cities determines the efficiency of the entire securities market.Therefore,it is necessary to study the spillover effects between the stock market and the bond market.The main purpose of this paper is to explore whether there is spillover effect between stock market and bond market.And based on the study of the spillover effect to judgment whether the current stock market and bond market is suitable for investors to carry out asset allocation,the most effective to resolve the risk of the market,whether the most effective realization of resource allocation.Based on the purpose of this study,this paper uses the theoretical and empirical analysis.Firstly,this paper introduces the research results of the relationship between the stock market and the bond market.Foreign research started earlier,the results are more abundant.Although domestic research started late,but the development is relatively fast.Then,this paper introduces the connotation and measurement method of spillover effect,and explains the causes of spillover effect between stock market and bond market,and the transmission mechanism of spillover effect between two markets and the effect of macro factor on spillover effect.Finally,the present situation of the spillover effect between the US stock market and the bond market is analyzed.The empirical part of this paper selects data from November 1,2005 to October 31,2016.Firstly,this paper studies the spillover effect between the stock market and the bond market through the establishment of the vector error correction model(VEC).And then through the use of Johansen cointegration test on the four macroeconomic variables and the spillover effects between the two markets to study.To explore the impact of macroeconomic variables on spillover effects.Finally,it is concluded that there is a weak spillover effect between China’s stock market and bond market,which shows that the current stock market and bond market can not achieve the optimal asset allocation in theory.In these two markets,The most effective dispersion of the market risk of the market.Combined with the status quo analysis,the development of China’s securities market put forward four policy recommendations.