证券市场导报Issue(9)：57-59,66,4.
中国债券市场与股票市场间波动溢出效应——基于SJC—Copula模型的分析
肖利平1
作者信息
- 1. 武汉大学经济与管理学院,湖北武汉430072
- 折叠
摘要
Abstract
This paper studies the volatility spillover effect between bond market and stock market based on the SJC-Copula model, and also analyzes the influence of volatility spillover effect on the risk avoidance ability of bond market. The studied data are daily data of S＆P/CITIC Government Bond Index and SSE Composite Index from March 31, 2003 to August 31, 2009. The existence of the volatility spillover effect in these two markets is confirmed, and it is also showed that the volatility spillover effect significantly enhanced the risk avoidance ability of bond market.关键词
SJC-Copula模型/波动溢出效应/金融传染/债券市场Key words
SJC-copula model/volatility spillover effect/financial contagion/bond market分类
管理科学引用本文复制引用
肖利平..中国债券市场与股票市场间波动溢出效应——基于SJC—Copula模型的分析[J].证券市场导报,2011,(9):57-59,66,4.
