Research On Volatility Spillover Effect Of China's Stock Market And Bond Market

China's stock market and bond market have achieved leap-forward development in the past few decades.However,with the constant improvement of China's capital market,the volatility spillover effect of the stock market and bond market has continued to increase.The connection of the two markets in transferring funds,market operation,information transfer has also been continuously strengthened.Therefore,the determination of the stock market and bond market volatility dependencies and spillover effects has great reference value both for micro dynamic investment portfolio and risk management,or macro level of the government's risk monitoring and financial regulation.This paper will use a combination of theoretical analysis and empirical analysis to study the volatility spillover effects of the stock market and the bond market.In terms of theoretical analysis,after referring to the prior researches,this paper analyzes the theoretical basis for the volatility spillover effect of stock and bond markets based on the theory of securities investment portfolio and behavioral finance.And then I analyze the transmission mechanism of the volatility spillover effect based on the discount rate and the transfer of funds between different markets.In terms of empirical analysis,this paper is based on the closing price data of the three indices from March 2,2015 to February 28,2018,The GC-MSV volatility spillover model was established between the index of inter-national bond net prices,the index of China Bonds-Exchange Treasury Bond Net Index and China-bond-tointerbank Treasury Bonds.Then I conduct the empirical analysis of GC-MSV model using Gibbs sampling MCMC method.The volatility spillover effect of the inter-bank bond market on the interbank bond market is stronger;in addition,the current volatility of the three markets will be affected by historical fluctuations.Finally,based on the results of theoretical analysis and empirical analysis,we provide some suggestions for China's stock market and bond market in order to provide a reference for the healthy and orderly development of China's stock market and bond market.