, Ilmanen 2003 ADCC VAR. NO.2, 2011 Serial NO.315 CONTEMPORARY FINANCE & ECONOMICS JA [1] Cappiello et al.

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1 CONTEMPORARY FINANCE & ECONOMICS NO.2, 2011 Serial NO A : F : A : (2011) , Ilmanen [1] Cappiello et al ADCC [2] Li 2004 Connolly et al. (2007) [3-4] 2007 VAR [5] 2008 ADCC [6] J JA

91 : A : 1005-0892 (2011) 02-0045-09 2010-11- 10, Ilmanen 2003 20 30 50

2 Andersson et al decoupling [7] Li 2004 G7 [3] Connolly et al. (2005) [8] Baele et al. (2010) [9] 2005 [10] 2006 [11] Driessen et al S&P100 [12] Krishnan et al. 2009a 2009b HML SMB [13-14] 2010 Fama-Macbeth [15] 46

3 Monetary Liquidity Baks Kramer(1999) G7 [16] 2002 [17] 2008 [18] flight to quality Market Liquidity flight to liquidity 1 CPI INF R7 M2/GDP M2/GDP EM2G M2 GDP GARCH 2006 ARCH [19] 2009 GARCH 47

4 GARCH EGARCH [20] EGARCH-M EGARCH Pagan Schwert 1990 Nelson (1991) GARCH GARCH ARCH GARCH GARCH EGARCH [21-22] Nelson (1992) [23] Svol = / A PT ST Turnover A A 2.68% r t =ln(p t /p t+1 ) A CSMAR A RESSET CPI M2 GDP 1 ADF 20 Ljung-Box ARCH-LM 10% GARCH 1 Q(20) ARCH ADF ** * ** ** ** ** Q(20) Ljung-Box ARCH ARCH 5 LM ADF - SIC ** * 5% 10% Engle(2002) Dynamic Conditional Correlation, DCC MVGARCH [24] DCC k r t {ε t } 0 H t 48

68% 2002 5 2010 6 98 r t =ln(p t /p t+1 ) A CSMAR A RESSET CPI M2 GDP 1 ADF 20 Ljung-Box ARCH-LM 10% GARCH 1 Q(20) ARCH ADF 0.0071 0.1001-0.

5 ε t F t-1 ~N(0,H t ) F t-1 t-1 軍軍軍軍軍軍軍軍軍軍軍軍軍軍軍軍軍 r t =μ t +ε t H t =D t R t D t R t =diag(q t ) -1/2 Q t diag(q t ) -1/2 Q t =(1-a-b) Q 軍 +a ξ t-1 ξ t-1 +bq t-1 1 D t k k GARCH R t ξ t-1 =D -1 ε t-1 Q 軍 DCC-MVGARCH t GARCH 1 1 ε t DCC 1 a b AR(1) ARMA(1,1) SIC Cor Cor OLS Lcor t =α+β 1 INF t-i +β 2 R7 t-i +β 3 EM2G t-i + β 4 Vol t-1 +β 5 Turnover t-1 2 i=0 1 [-1 1] Fisher LCor= 1 軍 2 ln 1+Cor 1-Cor 軍 3 ADF 1 3 Cor Svol Turnover INF EM2G R7 ADF ** ** ** ** * ** Svol ADF 4 10% R 2 13% 49

6 OLS t t INF t * EM2G t R7 t INF t EM2G t R7 t Vol t * Turnover t * * R F ** ** R i,t =α i +β i R m,t +η i (D t R m,t )+ε t 3 1 ρ t >0 R m,t D t =! 0 ρ t 0 R Fama-French i,t 25 A ST PT Size BM η η 10% - 5 Size BM L H S B η 50

15537* - 1.79067 R 2 0.13328 0.133618 F 2.79877** 2.77606** 98 97 R i,t =α i +β i R m,t +η i (D t R m,t )+ε t 3 1 ρ t >0 R m,t D t =!

7 DCC 1 ARMA 1, % % % % % [1]Ilmanen, A. Stock-Bond Correlations[J]. The Journal of Fixed Income 2003, 12(2) [2]Cappiello, L., Engle, R., and Sheppard, K. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns[J]. Journal of Financial Econometrics, 2006, 4(4) [3]Li, L. Macroeconomic Factors and the Correlation of Stock and Bond Returns [EB/OL]. Yale School of Management Working Papers, [4]Connolly, R., Stivers, C., and Sun, L. Commonality in the Time-variation of Stock-Stock and Stock-Bond Comovements[J]. Journal of Financial Markets, 2007, 10(2) [5],. [J] (9) [6]. [J]., 2008 (1) [7]Andersson, M., Krylova, E., and V 覿 h 覿 maa, S. Why does the Correlation between Stock and Bond Returns Vary Over Time?[J]. Applied Financial Economics 2008, 18(2) [8]Connolly, R., Stivers, C., and Sun, L. Stock Market Uncertainty and the Stock-Bond Return Relation[J]. Journal of Financial and Quantitative Analysis 2005, [9]Baele, L., Bakaert G., and Inghelbrecht K. The Determinants of Stock and Bond Return Comovements[J].Review of Fi- 51

Macroeconomic Factors and the Correlation of Stock and Bond Returns [EB/OL]. Yale School of Management Working Papers, 2004. [4]Connolly, R., Stivers, C., and Sun, L.

8 nancial Studies [10]. [J] (5) [11]. [D]., [12]Driessen, J., P. Maenhout, and G. Vilkov. Option-Implied Correlations and the Price of Correlation Risk[J]. Journal of Finance, forthcoming, [13]Krishnan, C. N. V., R. Petkova, and P. Ritchken. Correlation risk [J]. Journal of Empirical Finance, 2009a, 16 (3) [14]Krishnan, C. N. V., R. Petkova, and P. Ritchken. The Pricing of Stock-Bond Correlation Risk[EB/OL]. working paper, 2009b. [15]. [D]. :, [16]Baks,K. and Kanner,G. Global Liquidity and Asset Prices: Measurement, Implications and Spillovers[EB/OL]. IMF working paper, [17],. [J] (8) [18]. [J] (9) [19]. [D] [20]. [J] (3) [21]Pagan, A. R., and G. W. Schwert. Alternative Models for Conditional Stock Volatility[J]. Journal of Econometrics, 1990, [22]Nelson, Daniel B., Conditional Heteroskedasticity in Asset Returns A New Approach [J]. Econometrica, 1991, [23]Nelson, D. B. Filtering and Forecasting with Misspecified Arch Models I: Getting the Right Variance with the Wrong model[j]. Journal of Econometrics, 1992, 52 (1-2): [24]Engle, R. Dynamic Conditional Correlation-a Simple Class of Multivariate GARCH Models[J]. Journal of Business and Economic Statistics, 2002 (20) A Q(20) ARCH ADF ** ** 1 ARCH-LM 1% GARCH GARCH GARCH p q GARCH 1 1 EGARCH(1 1)-M 1 ADF 20 Ljung-Box r t =μ+θ 1 σ t +ε t ln(σ 2 )=θ +θ t 2 3 ε t-1 σ t-1 ε +θ t-1 4 +θ σ 5 ln(σ 2 ) t-1 t-1 1 ε t

working paper, 2009b. [15]. [D]. :, 2010. [16]Baks,K. and Kanner,G. Global Liquidity and Asset Prices: Measurement, Implications and Spillovers[EB/OL]. IMF working paper, 1999. [17],. [J].

9 θ 3 θ r t =μ+θ 1 σ t +ε t Z p μ θ ln(σ 2 t )=θ 2 +θ 3 ε t- 1 σ t- 1 +θ 4 ε t- 1 σ t- 1 +θ 5 ln(σ 2 t- 1 ) θ θ θ θ EGARCH-M A θ θ 4 An Analysis of the Dynamic Correlation of Yields between China s Stock Market and Bond Market ZHENG Zhen-long, CHEN Zhi-ying (Xiamen University, Xiamen , China) Abstract On the basis of the data of A-share comprehensive market yield and the all bond index yield of CITIC, this paper examines the dynamic correlation between the stock returns and bond returns in China, analyzes the driving forces behind this time-varying correlation, and discusses the pricing influence on stock returns on cross section. The results indicate that the stock-bond correlation is time-varying, and the uncertainty of the stock market and the expected inflation rate are the major factors influencing the share-debt correlation. It is also found through the dummy variable regression that the stock-bond correlation has little effect on stock returns on the cross section. For investors, these conclusions have some direct relevance. Key words stock-bond correlation; macroeconomic factors; market volatility; turnover; correlation risk 53

0000 2 EGARCH-M A θ 5 1 1 θ 4 An Analysis of the Dynamic Correlation of Yields between China s Stock Market and Bond Market ZHENG Zhen-long, CHEN Zhi-ying (Xiamen University, Xiamen 361005, China)

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