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我国的国债市场目前尚处于分割状态,本文从市场之间信息流动的角度出发,构建二元GARCH模型对我国两个国债交易市场之间的波动溢出效应进行研究,发现银行间市场与交易所市场存在稳定的一阶矩长期关系及二阶矩的双向信息流动;并构造时变的条件相关系数对市场一体化程度进行分析,发现总体上两市场一体化程度较差,在检验期末的时段,相关系数开始呈现上升趋势。这一结果更多地归因于两市场跨市交易品种较少、投资者结构的差异以及现行的转托管制度。
China’s bond market is still in a state of division. This paper studies the volatility spillover effect between the two national debt markets in China from the perspective of information flow between markets, and finds that the interbank market and the exchange market There is a long-term stable first-order moment relationship and two-way information flow of second-order moments. Constructing the time-varying conditional correlation coefficient to analyze the degree of market integration, we find that on the whole the two markets are less integrated. During the period of the test period, Correlation coefficient began to show an upward trend. This result is more attributed to the less cross-market transactions in the two markets, the differences in investor structure and the current transfer custody system.