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

被引：0
|
作者：
Zhou, Mingwei [1 ]
Zhang, Yuan [1 ]
机构：
[1] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China
来源：
PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON ECONOMIC AND BUSINESS MANAGEMENT (FEBM 2017) | 2017年 / 33卷
关键词：
Shanghai and Shenzhen 300; corporate bond; co-integration test; Granger causality test; impulse response; variance decomposition; PRICES;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
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.
引用
收藏
页码：989 / 994
页数：6
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