| Under the background of the continuous expansion of global financial freedom and the gradual enhancement of the correlation between financial markets,China’s capital market,as an important representative of the financial market,has become more closely related to its sub-markets.Fluctuations between financial markets in a country or region will not only be affected by its own historical fluctuations,but also by fluctuations in other financial markets,resulting in corresponding volatility spillover effects.This spillover effect,on the one hand,can constitute the basic conditions for the effective implementation of relevant policies,on the other hand,it makes all kinds of risks between markets spread rapidly,and even evolve into financial crisis.In terms of economic significance,the essence of volatility spillover is the process and direction of risk transmission between different financial markets.With the rapid development of China’s economy,the development of the stock market and the bond market has also evolved from the initial state of segmentation and independence to a closely related state,and the stock market is also one of the important sources of financial risks,and the risk spillover problem is extremely prominent.Therefore,it is necessary to conduct a comprehensive study on the volatility spillover effect between China’s stock market and bond market.Based on the existing literature,this paper selects the Shanghai and Shenzhen 300 stock index and the China Bond Composite Index as the representative indexes of China’s stock market and bond market.Based on the sample data from January 2002 to June 2022,the VAR-BEKK-MGARCH model is used to study the volatility spillover effect and its time-varying characteristics between China’s stock market and bond market from three perspectives: full sample,phased sample and rolling window method.The empirical results show that the volatility of China’s stock market and bond market is time-varying and clustered.There is a volatility spillover effect between the two,and the effect has stage and time-varying characteristics.When the stock market is in different situations(shock,bull market,bear market)and different time periods,the volatility spillover effect between the stock market and the bond market will be alienated,showing different characteristics.In the process of using the rolling window method to study the timevarying characteristics of the volatility spillover effect between the stock market and the bond market,it is found that the stock market has a volatility spillover effect on the bond market throughout the sample period,and the effect has experienced a process of rising,suddenly increasing to the trough,and then slowly falling until it is stable.The volatility spillover effect of the bond market on the stock market is relatively weak,and there is no volatility spillover effect for more than half of the time.This paper comprehensively expounds the transmission path and the variation characteristics of the volatility spillover effect between China’s stock market and bond market.The policy implications of the conclusions are as follows:(1)When formulating monetary policy,the central bank can take into account the information transmission mechanism between financial markets,reduce financial market volatility,maintain the stability of asset prices in the stock market and bond market,and thus maintain financial market stability.(2)The stock market and the bond market need to develop in a balanced and coordinated manner.It is necessary to strengthen the infrastructure construction of the bond market,so as to expand the connectivity between the two markets,stabilize the stock market,make the two markets more integrated and give full play to the market function.(3)On the basis of existing supervision,the CSRC can incorporate the spillover effect measurement between China ’s stock market and bond market into its regulatory framework,enhance the ability to prevent and resolve risks,and prevent excessive turbulence in the financial market. |
