基于MSV与CoVaR模型的公司债市场与股票市场间风险溢出效应研究
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引用本文:曾志坚,张欣怡,左 楠.基于MSV与CoVaR模型的公司债市场与股票市场间风险溢出效应研究[J].财经理论与实践,2019,(2):41-47
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曾志坚,张欣怡,左 楠 (湖南大学 工商管理学院湖南 长沙 410082) 
中文摘要:依据2015—2017年中证公司债指数与沪深300指数的日收益数据,运用GC-t-MSV模型,检验中国公司债市场与股票市场间的风险溢出效应,并通过条件在险价值(CoVaR)模型度量两市场间风险溢出效应。结果表明:公司债市场与股票市场间存在不对称的双向风险溢出效应,且公司债市场对股票市场的风险溢出效应强于股票市场对公司债市场的风险溢出效应;公司债市场与股票市场的波动受其自身波动的影响较大,鉴此,监管部门和投资者应增强对公司债市场的关注,根据公司债市场的风险变化及时采取应对措施,充分发挥其风险信号作用。
中文关键词:风险溢出  公司债市场  股票市场  GC-t-MSV模型  CoVaR模型
 
Risk Spillover Effect Between Corporate Bond Market and Stock Market Based on MSV and CoVaR Model
Abstract:Based on the daily yield data of the CSI Bond index and CSI 300 index from 2015 to 2017, the author used GC-t-MSV model to test the risk spillover effect between the corporate bond market and the stock market in China, and measured the intensity of risk spillover between the two markets through the conditional value at risk (CoVaR.) The empirical results show that there is a bi-directional risk spillover effect between the corporate bond market and the stock market, and the risk spillover effect of the corporate bond market on the stock market is stronger than the risk spillover effect of the stock market on the corporate bond market. In addition, it is also found that the volatility of the corporate bond market and the stock market is greatly affected by its own volatility.
keywords:risk spillover  corporate bond market  stock market  GC-t-MSV model  CoVaR model
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