CAJ | 학술논문

本文按照上证综合指数的走势将2005年6月6日至2008年10月28日的整个样本区间划分为牛市和熊市两个样本子区间，采用样本子区间内的上证综合指数和中债总指数的对数收益率日数据，通过VAR（P）-BVGJR—GARCH（1，1）-BEKK模型实证分析了不同市态下中国股市和债市间溢出效应的异化现象。结果显示，在牛熊市中，我国股市债市间不存在均值溢出效应，但两市场间的波动溢出效应存在着显著差异。牛市时期，两市场间存在双向的波动溢出效应，但一个市场的条件方差对另一市场负冲击不存在非对称效应。而熊市时期，两市场间只存在股市对债市的单向波动溢出效应，且一个市场的条件方差对另一市场负冲击均存在非对称效应。
본문안조상증종합지수적주세장2005년6월6일지2008년10월28일적정개양본구간화분위우시화웅시량개양본자구간，채용양본자구간내적상증종합지수화중채총지수적대수수익솔일수거，통과VAR（P）-BVGJR—GARCH（1，1）-BEKK모형실증분석료불동시태하중국고시화채시간일출효응적이화현상。결과현시，재우웅시중，아국고시채시간불존재균치일출효응，단량시장간적파동일출효응존재착현저차이。우시시기，량시장간존재쌍향적파동일출효응，단일개시장적조건방차대령일시장부충격불존재비대칭효응。이웅시시기，량시장간지존재고시대채시적단향파동일출효응，차일개시장적조건방차대령일시장부충격균존재비대칭효응。
In this paper, the whole sample period is divided into two periods from 6 June 2005 to 28 October 2008, one is bull market period and another is bear market. Using the daily log return of the SHCI and the CBAI between bull and bear markets, we empirically analyze the dissimilation of spillover effect between the Chinese stock market and bond market in different market states with VAR-BVGJR-GARCH-BEKK model. The empirical results demonstrate that there aren＇t significantly mutual mean spillover effects in the Chinese stock market and bond market between bull and bear markets, but distinct difference exists in the volatility spillover effect within the two financial markets between bull and bear markets. In bull market, there are remarkably the bidirectional vulatility spilluver effects between the two markets, whereas there isn＇t the response of the one market to the negative shocks of the other market. However, in the bear mar- ket, we find evidence uf unidirectional volatility spillovers from the Chinese stock market to the Chinese bond market, and there is the response of the one market to the negative shocks of the other market.