Risk Spillover Between Stock And Corporate Bond Markets Based On CQ And MVMQ-CAViaR Models

China’s financial stability report(2019)issued by the central bank pointed out that China should strengthen the real-time monitoring of the stock market and bond market to prevent the occurrence of financial risks.The risk spillover between the stock market and corporate bond market has gradually attracted extensive attention.Stock market and corporate bond market are important parts of China’s financial market.Affected by risk interaction factors such as capital operation strategy and investor behavior,there is a certain risk linkage between them.Under the influence of corporate value,the abnormal fluctuation and linkage effect between the two markets are further amplified,and the stock market and corporate bond market with higher homogeneity have stronger and more frequent risk spillovers.Taking the listed companies issuing corporate bonds as the research sample,this paper makes an empirical analysis on the daily,weekly and monthly data from 2015 to 2021 to study the law of risk spillover between the two markets.Firstly,it analyzes the risk spillover mechanism between the two financial markets.Secondly,AR-GARCH model is used to estimate the risk time series of the two financial markets respectively.On this basis,Cross-Quantilogram(CQ)model is used to test the existence of risk spillover between the two markets under different quantiles.Then,based on the quantile level test results of CQ model,MVMQ-CAViaR model is used to measure the intensity of risk spillover between the two markets.Finally,according to the empirical results,the corresponding management suggestions are put forward.The empirical results show that the risk spillover between the stock market and the corporate bond market exists only when the corporate bond market environment tends to decline.Furthermore,both the risk spillover from stock market to bond market and the risk spillover from bond market to stock market have a certain timeliness,and the former lasts for a long time.There is risk spillover from stock market to bond market under most quantiles,and the lower the quantile,the stronger the significance of risk spillover between the two markets.