A Study on Volatility Spillovers Effect Between China’s Bond Markets

摘要：

　　Effective recognition of the volatility spillovers effect between the bond markets can help investors in different financial markets to allocate resources efficiently to achieve the purpose of maximizing the benefits and risk aversion.Granger causality test and impulse response function prove that the inter-bank bond market and the exchange bond market exists larger fluctuation correlation.We select the data from January 28,2011 to March 30,2012 with inter-bank bond market and the exchange bond market.Then use the BEKK-GARCH model and SJC-Copula model for further ripple effect empirical test.The study found that there is a two-way volatility spillover effects,and the volatility spillover effect is very sensitive to interest rates,bonds changes of deadline.

作者: SHENG XU TIAN LI

作者单位: Ocean University of China.No.238 Songling Road,Laoshan District,Qingdao,Shandong Province,China

会议类型: 国际会议

会议名称: 2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)

会议地点: 上海

会议语种:英文

页码: 1-14

在线出版日期: 2014-05-24（万方平台首次上网日期，不代表论文的发表时间）