证券市场导报Issue(6)：51-59,9.
债券市场投资中的非线性相关结构分析
摘要
Abstract
Would the bond market be a safer choice for Chinese investors when the stock markets are in turmoil? In order to provide advice for the investors attempting to enter into bond market, this paper employs Copula functions to analyze the nonlinear dependence structure between stock and bond markets, as well as the non-linear dependence structures between different bond types. The Markov switching technique is then used to explore the possible time-variety in these dependence structures. The empirical results show that, for daily returns, the relationship between stock and bond markets is rather weak. While for weekly and monthly returns, the two markets display a negative relationship, and the tail dependence exists in their dependence structure. In addition, on the bond market, there are obviously positive relationships between different bond types. Their dependence degrees tend to be higher for the returns with lower frequency, and their dependence structures are non-linear and time-varying. Our comprehensive analysis in this paper is quite valuable, especially when investors consider introducing bonds into their portfolios.关键词
债券市场/非线性相关结构/Copula函数Key words
bond market/non-linear dependence structure/Copula function分类
管理科学引用本文复制引用
范国斌,于翠婷,廖静池..债券市场投资中的非线性相关结构分析[J].证券市场导报,2018,(6):51-59,9.基金项目
本研究受国家自然科学基金项目"基于Copula理论的高频数据间非线性相关结构建模与应用研究"(编号71301130)、""中国式"新股发行制度改革下的投资主体行为研究"(编号71403174)与"商业银行操作风险度量误差及监管遗漏风险研究"(编号71671144) （编号71301130）
教育部人文社会科学研究基金项目"交易者行为与信息揭示视角下卖空限制的市场稳定功能再研究"(编号13YJC790024)与"基于多元Copula模拟的操作风险度量不确定性研究"(编号16YJA790038) （编号13YJC790024）
自然基金(编号71573033)的资助 （编号71573033）
