| 股票市场与国债市场的溢出效应研究 |
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| 引用本文： | 白颉,张茂军,郭梦菲. 股票市场与国债市场的溢出效应研究[J]. 华中师范大学学报(自然科学版), 2018, 52(5): 607-612 |
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| 作者姓名： | 白颉 张茂军 郭梦菲 |
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| 作者单位： | 1.太原学院数学系， 太原 030032； 2.桂林电子科技大学数学与计算科学学院， 广西 桂林 541004 |
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| 摘 要： | 为了分析信息在股票市场和国债市场的传导路径，选取沪深300指数和中证国债指数作为研究样本，运用VAR－GARCH－BEKK模型，研究中国股票市场与国债市场均值和波动溢出效应.研究表明，股票市场与国债市场均具有波动聚集性，两市场之间存在双向均值溢出效应，且只存在着股票市场对国债市场的单向波动溢出效应.
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| 关 键 词： | 股票市场 国债市场 均值溢出 波动溢出 GARCH模型 |
| 收稿时间： | 2018-10-19 |
The spillover effects between the stock market and T-bond market in China |
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| BAI Jie,ZHANG Maojun,GUO Mengfei. The spillover effects between the stock market and T-bond market in China[J]. Journal of Central China Normal University(Natural Sciences), 2018, 52(5): 607-612 |
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| Authors: | BAI Jie ZHANG Maojun GUO Mengfei |
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| Affiliation: | 1.Education Institute of Taiyuan University， Department of Mathematics，Taiyuan 030032， China；2.School of Mathematics and Computational Science， Guilin University of Electronic Technology， Guilin， Guangxi 541004， China |
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| Abstract: | In order to study the spillover effects between China's stock and T-bond markets with the model of VAR-GARCH-BEKK， Hushen 300 index and Zhongzheng T-bond index are selected as the statistical samples to investigate the information transmitting. Empirical findings find that both the stock market and T-bond market have the volatility clustering effects， and there are two-way mean spillover effect between the stock market and T-bond market， while there only exists a pattern of volatility spillover from the stock market into the T-bond market. |
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| Keywords: | stock market T-bond market mean spillover volatility spillover GARCH model |
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