债市牛熊分界标准_中国股市和债市溢出效应在牛熊市中的异化现象

　　摘 要：本文按照上证综合指数的走势将2005年6月6日至2008年10月28日的整个样本区间划分为牛市和熊市两个样本子区间，采用样本子区间内的上证综合指数和中债总指数的对数收益率日数据，通过VAR(p)-BVGJR-GARCH(1,1)-BEKK模型实证分析了不同市态下中国股市和债市间溢出效应的异化现象。结果显示，在牛熊市中，我国股市债市间不存在均值溢出效应，但两市场间的波动溢出效应存在着显著差异。牛市时期，两市场间存在双向的波动溢出效应，但一个市场的条件方差对另一市场负冲击不存在非对称效应。而熊市时期，两市场间只存在股市对债市的单向波动溢出效应，且一个市场的条件方差对另一市场负冲击均存在非对称效应。
　　关键词：牛市；熊市；股票-债券市场；溢出效应；VAR-BVGJR-GARCH-BEKK模型
　　中图分类号：F830.9 文献标识码：A 文章编号：1003-5192(2012)04-0046-07
　　Dissimilation of Spillover Effect among the Chinese Stock Market and Bond
　　Market between Bull and Bear Markets
　　——An Empirical Research Based on the Shanghai Composite Indexand the China Bond Assembled Index
　　WANG Dong-hua1, LEI Man1, RUAN Yong-ping1, WANG Chen2
　　(1.The Financial Engineering Research Centre of Business School, East China University of Science and Technology, Shanghai 200237, China; 2.Viterbi School of Engineering, University of Southern California, Los Angeles, CA 90089, USA）
　　Abstract:In this paper, the whole sample period is divided into two periods from 6 June 2005 to 28 October 2008, one is bull market period and another is bear market. Using the daily log return of the SHCI and the CBAI between bull and bear markets, we empirically analyze the dissimilation of spillover effect between the Chinese stock market and bond market in different market states with VAR-BVGJR-GARCH-BEKK model. The empirical results demonstrate that there aren’t significantly mutual mean spillover effects in the Chinese stock market and bond market between bull and bear markets, but distinct difference exists in the volatility spillover effect within the two financial markets between bull and bear markets. In bull market, there are remarkably the bidirectional volatility spillover effects between the two markets, whereas there isn’t the response of the one market to the negative shocks of the other market. However, in the bear market, we find evidence of unidirectional volatility spillovers from the Chinese stock market to the Chinese bond market, and there is the response of the one market to the negative shocks of the other market.
　　Key words:bull market; bear market; stock-bond market; spillover effect; VAR-BVGJR-GARCH-BEKK model
　　1 引言
　　在经济全球化和金融自由化的背景下，作为我国金融体系的两大重要子市场，股票市场和债券市场间的相互联系与影响应更加紧密。股市债市间此种关联性多数源于两市场间的溢出效应。两市场间的溢出效应包括均值溢出效应和波动溢出效应。股市债市间均值溢出效应是指两市场收益的信息传导，可用来反映股市债市间领先和滞后的关系；而波动溢出效应是指两市场波动的信息传导，能较好地刻画股市债市间波动传导的途径和方向，反映市场之间的信息流动过程和相互作用机理。我国股市债市间的溢出效应可以较为全面地体现两个金融市场之间的风险传递状况。由此可见，中国股票市场与债券市场间溢出效应的研究对于了解两市场间的信息传导机理以及金融政策实施都具有重要的理论和现实意义。