摘要
研究股市和债市溢出效应影响因素有利于进一步认识两市的相互波动特征。由于影响两市波动的因素复杂,提出了根据信息来源渠道将其溢出影响因素分解为共变和互变因素的新观点。共变因素研究表示我国宏观经济政策对股市和债市溢出影响的有限有效性。特别是在研究互变因素时,考虑了投资者情绪这一主观因素对两市的波动影响,并且对不同类型投资者在不同市场的行为进行了深入对比研究:个人投资者缺乏理性,往往是市场剧烈波动的始作俑者;而机构投资者能在市场间采取合理的反向操作策略,间接表明他们在稳定市场发展、化解风险扩散中的作用。
The research on the factors of the spillover effect of stock market and bond market of China is helpful to understand the volatility characteristics of the two markets. A new perspective is put forward that these factors are decomposed into covariation factors and interconversion factors by the different sources of information channels. An empirical study on covariation factors shows there are limited effects macroeconomic policies of China on the spillover effect between stock market and bond market. When the interconversion factors are studied, investor sentiment is considered to analyze the different effects on stock market and bond market, and individual and institutional investors have different impacts on the spillover effect.
出处
《金融理论与实践》
北大核心
2008年第8期34-39,共6页
Financial Theory and Practice
基金
国家社会科学基金资助项目(05BJY098)资助
关键词
股票市场
债券市场
溢出效应
Stock Market
Bond Market
Spillover Effect
