CAJ | 학술논문

评估债券市场互联互通进程中的风险溢出效应，对于进一步完善中国金融制度改革具有积极的参考意义。本文基于Copula理论研究了2002—2009年间股票市场与债券市场的风险溢出效应及其状态转换特征，研究结果表明：股票市场与债券市场联动效应总体不显著；随着中国金融市场统一步伐的加快，投资者可以通过跨市场套利交易来优化资源配置，使得股票市场与债券市场之间表现为“跷跷板”效应；相对分割的债券市场避免了极端条件下系统性风险的相互传染，使得股票市场与债券市场尾部相关性独立，客观上有助于维护金融稳定。
평고채권시장호련호통진정중적풍험일출효응，대우진일보완선중국금융제도개혁구유적겁적삼고의의。본문기우Copula이론연구료2002—2009년간고표시장여채권시장적풍험일출효응급기상태전환특정，연구결과표명：고표시장여채권시장련동효응총체불현저；수착중국금융시장통일보벌적가쾌，투자자가이통과과시장투리교역래우화자원배치，사득고표시장여채권시장지간표현위“교교판”효응；상대분할적채권시장피면료겁단조건하계통성풍험적상호전염，사득고표시장여채권시장미부상관성독립，객관상유조우유호금융은정。
Assessing the risk spillover effect in the bond market interconnection process has important significance for further improving China financial system reform. Based on Copula theory, the paper researches the risk spillover as well as structure variations features of stock market and bond market during 2002 to 2009. The results indicate that the linkage effect between stock market and bond market is not significant in general, and with the unification of China financial market accelerating, investors can optimize resource allocation by cross - market arbitrage trading, which makes the stock market and the bond market display ＂see - saw＂ effect, and relatively segmented bond markets avoid the mutual transmission of systemic risk under extreme conditions, which is good to maintain financial stability.