A study on the dynamic correlation between bond market and stock market

摘要：

　　Based on the dynamic theory of stock market and bond market,this paper chooses corporate bond index and CSI 300 index,and uses the co-integration test of EG two-step method,Granger causality hypothesis test and impulse response to analyze the correlation of stock market and bond market.The results show that: first,there is no cointegration relationship between the bond market and the stock market; second,there is a one-way Granger causality between the bond market and the stock market; third,from the perspective of impulse response and variance decomposition,the bond market and the stock market have little effect.

关键词： Shanghai and Shenzhen 300 corporate bond co-integration test Granger causality test impulse response variance decomposition

作者: Mingwei Zhou Yuan Zhang

作者单位: School of Economic and Management in Nanjing University of Science and Technology,China

会议类型: 国际会议

会议名称: 2017年经济与企业管理国际学术会议(FEBM2017)

会议地点: 上海

会议语种:英文

页码: 989-994

在线出版日期: 2017-10-21（万方平台首次上网日期，不代表论文的发表时间）