The Research On Correlation Between The Stock Market And Green Bond Market In China

With the development of the economic and industry,the global environment is getting worse.The development of China in the previous decades was accompanied by the plundering of resources and the destruction of the natural environment.At present,the deterioration of the natural environment,the destruction of the ecological environment and the scarcity of resources have caused people's high attention and become obstacles to the further development of the economy.Therefore,how to balance the healthy development of economy and environment has become a major problem that needs to be solved urgently.The green bond is a financing tool that has been vigorously developed in the green finance field in recent years.The appearance of it has increased the financing channels for the green industry,reduced the financing cost of the green industry,and promoted the healthy development of the green industry.The international history of green bonds is only 13 years.The history in China is only a short period of 3 years.However,the support of national policies,suitable bond markets,and sufficient investors have contributed to the healthy growth of the green bond market.There will be issuing more green bonds in the future,and more investors will invest in the green bond market.As stocks and bonds are two of the mainstream investment products in Chinese financial markets,many investors will choose portfolio investments in stocks and bonds,and in turn,stocks and green bonds.Therefore,it is far-reaching significance to analyze the relevant changes in the relationship between green bond market and the stock market in China.This paper use the literature review method in theory to analyze related literature and sort out the linkage relationship between the Chinese stock market and the green bond market.In the empirical analysis,we selected the China Bond-China Green Bond Index and the Shanghai-Shenzhen 300 Index as empirical data to establish relevant models and elaborate on the model principle.Analyze the correlation between China stock market and green bond market from the perspectives of price,turnover,yield,and liquidity.In the end,this paper draws the following main conclusions.Through Johansen cointegration test and vector autoregressive modeling,it found that Chinese stock market and green bond market have a long-term cointegration relationship in terms of turnover,yield,and liquidity.But there is not a long-term cointegration relationship in price.Chinese stock market and green bond market have a one-way Granger causality in the return dimension,and have no Granger causality in the liquidity dimension.It shows that the yield of Chinese stock market has a predictive effect on the yield of the green bond market,but the green bond market does not have a predictive effect on the stock market.The impact of Chinese stock market and green bond market effect is different,the Chinese stock market shocks influence the bond market heavily and the influence last longer,while the green bond market influence the stock market impact relatively small.The features and innovations of this paper lie in:(1)The existing literature only study the relationship between the stock market and the bond market.This article more specifically analyzes the relationship between China's stock and the green bond market,and provides relatively direct advices to the investors in the green bond market.(2)Analyze the relationship between the stock market and the green bond market from multiple angles.Currently,most of the existing literature only study the linkage of rate of return.This article adopts multiple variables such as price,liquidity,profitability,turnover,and innovation in the research content.(3)In the selection of the econometric model,this paper selects the Johansen cointegration test or the vector autoregressive model to analyze empirically the variables of the Chinese stock market and the green bond market for the stability of the selected data.