Title :
Research on contagion effect among China´s bond market and stock market
Author :
Hou Xianping ; Huang Dengshi ; Xu Kai ; Zhang Hu
Author_Institution :
Sch. of Econ. & Manage., Southwest Jiaotong Univ., Chengdu, China
Abstract :
Contagion effect between China´s bond market and China´s stock market are analyzed by Granger-causality test among four markets, which are exchange bond market, interbank bond market, Shanghai stock market and Shenzhen stock market. The empirical results show that there is a two-way strong contagion effect between exchange bond market and inter-bank bond market, and there is a one-way contagion effect from Shanghai stock market and Shenzhen stock market to inter-bank bond market, and there is no contagion effect between exchange bond market and stock market. The results indicate that the unified degree of China´s bond market increases, and the bond market can hedge risk of stock market, and the exchange bond market is independent of the stock market and has little influence on the stock market.
Keywords :
risk management; statistical testing; stock markets; China bond market; China stock market; Granger-causality test; Shanghai stock market; Shenzhen stock market; exchange bond market; interbank bond market; one-way contagion effect; risk; two-way strong contagion effect; Correlation; Electric shock; Indexes; Stock markets; Testing; Yttrium; China´s bond market; China´s stock market; Granger-causality; contagion effect;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2013 6th International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-1-4799-3985-5
DOI :
10.1109/ICIII.2013.6703237