Research On Co-Movement Of Yields Between Domestic Stock And Bond Markets

Stock and bond have already become the most attractive investments,they will show the same or inverse volatile trend when external shock appears.This co-movement could reflect the information transmission efficiency between the two markets,high co-movement means high probability of information transferring from one market to the other as well as high speed of message transmission,thus efficiency of security market is insured.When conducting the research,the writer at first describes the state of development of these two markets,determining the angle of research and defining the significance of this research;then the writer introduces some theories concerning existence of interactive characteristics of yield between two markets as well as the factors affecting interactive characteristics;then by choosing CSI300?Small and Medium-sized Plate Composite and Comprehensive Debt Wealth Index as example,the writer uses VAR model and DCC-GARCH(1,1)model to determine whether the time-variable interactive characteristics exists and then uses VECM model to analyze the effect of the following six macro factors: interest rate?inflation rate?money supply?exchange rate?fixed investments and investor sentiment;finally the writer list the results and put forward several suggestions.The conclusions this article has reached are listed as follows: In terms of whether the interactive characteristics of yield between the two markets exist,the writer have found that the relevant relationship between CSI300 and Comprehensive Debt Wealth Index and the relevant relationship between Small and Medium-sized Plate Composite and Comprehensive Debt Wealth Index are similar to each other.In the long term,the dynamic correlation coefficients are not presenting well-regulated distribution,while in the short term,there are notable volatility in the impulse response between each other,this may be connected with the long-term division state,this division can hinder information transmission and thus lead to the inconspicuous interactive characteristics.In terms ofinfluencing factors,co-integration test has shown that there exists a long-term equilibrium relationship between monthly correlation coefficient and six macro factors,the results of VECM model has shown that influencing coefficient of interest rate?inflation rate?money supply?exchange rate?fixed investments and investor sentiment will exert an impact on next monthly correlation coefficient,the short-term amendment guarantees the existence of long-term equilibrium relationship.