2011 2 315 CONTEMPORARY FINANCE & ECONOMICS NO.2, 2011 Serial NO.315 361005 A : F830.91 : A : 1005-0892 (2011) 02-0045-09 2010-11- 10, Ilmanen 2003 20 30 50 [1] Cappiello et al. 2006 ADCC [2] Li 2004 Connolly et al. (2007) [3-4] 2007 VAR [5] 2008 ADCC [6] 70971114 2009J01316 07JA790077 45
2011 2 315 Andersson et al. 2008 decoupling [7] Li 2004 G7 [3] Connolly et al. (2005) [8] Baele et al. (2010) [9] 2005 [10] 2006 [11] Driessen et al. 2009 S&P100 [12] Krishnan et al. 2009a 2009b HML SMB [13-14] 2010 Fama-Macbeth [15] 46
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
GARCH EGARCH [20] EGARCH-M EGARCH Pagan Schwert 1990 Nelson (1991) GARCH GARCH ARCH GARCH GARCH EGARCH [21-22] Nelson (1992) [23] Svol = / 2003 5 2010 6 A PT ST Turnover 2011 2 315 A A 2.68% 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 0.1001-0.4376 3.7014 47.593** 2.6384* - 4.6648** 0.0022 0.0079-1.0015 8.0715 43.915** 29.015** - 6.2695** 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
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 2 1-0.1769 0.5647 0.0262 2 Cor 0.026122 0.56470-0.17690 0.108172 1.238724 8.322459 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 - 9.171226** - 4.07756** - 3.12725** - 10.046** - 2.8644* - 7.7273** Svol ADF 4 10% R 2 13% 49
2011 2 315 4 OLS t t 0.06896 1.43997 0.08298 1.64839 INF t 4.29879* 1.89325 EM2G t 0.62734 0.33557 R7 t 2.98301 1.61495 INF t- 1-0.64397-0.27887 EM2G t- 1 1.39225 0.77014 R7 t- 1 2.04744 1.05242 Vol t- 1-0.16579* - 0.14946-1.65858 Turnover t- 1-0.15237* - 0.15537* - 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 =! 0 ρ t 0 R Fama-French i,t 25 A ST PT Size BM 25 2002 7 2 5 3 η η 10% - 5 Size BM L 2 3 4 H S - -- - - - 2 - - - - 3 - - - 4 - - - - - B - - - - 5 25 4 η 50
DCC 1 ARMA 1,1 2 2009 2007 997 223 12.33 9.25 3.08 33% 11.14 90.35% 0.33 2.68% 0.04 0.32% 0.83 6.73% [1]Ilmanen, A. Stock-Bond Correlations[J]. The Journal of Fixed Income 2003, 12(2) 55-56. [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) 537-572. [3]Li, L. 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. Commonality in the Time-variation of Stock-Stock and Stock-Bond Comovements[J]. Journal of Financial Markets, 2007, 10(2) 192-218. [5],. [J]. 2007 (9) 58-63. [6]. [J]., 2008 (1) 63-73. [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) 139-151. [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, 40 161-194. [9]Baele, L., Bakaert G., and Inghelbrecht K. The Determinants of Stock and Bond Return Comovements[J].Review of Fi- 51
2011 2 315 nancial Studies 2010. [10]. [J]. 2005 19(5) 34-39. [11]. [D]., 2006. [12]Driessen, J., P. Maenhout, and G. Vilkov. Option-Implied Correlations and the Price of Correlation Risk[J]. Journal of Finance, forthcoming, 2009. [13]Krishnan, C. N. V., R. Petkova, and P. Ritchken. Correlation risk [J]. Journal of Empirical Finance, 2009a, 16 (3) 353-367. [14]Krishnan, C. N. V., R. Petkova, and P. Ritchken. The Pricing of Stock-Bond Correlation Risk[EB/OL]. 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]. 2002 (8) 13-20. [18]. [J]. 2008 (9) 44-59. [19]. [D]. 2006. [20]. [J]. 2009 39(3) 25-34 [21]Pagan, A. R., and G. W. Schwert. Alternative Models for Conditional Stock Volatility[J]. Journal of Econometrics, 1990, 45 267-290. [22]Nelson, Daniel B., Conditional Heteroskedasticity in Asset Returns A New Approach [J]. Econometrica, 1991, 59 347-370. [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): 61-90. [24]Engle, R. Dynamic Conditional Correlation-a Simple Class of Multivariate GARCH Models[J]. Journal of Business and Economic Statistics, 2002 (20) 339-350. A 2002 5 8 2010 6 30 1981 1 1 Q(20) ARCH ADF 0.000389 0.019597-0.37326 6.100659 54.457 25.8976** - 42.93784** 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 1 2 2 52
θ 3 θ 4 1 2 2 2 r t =μ+θ 1 σ t +ε t Z p μ - 0.0027 0.000931-2.899298 0.0037 θ 1 0.181477 0.059632 3.043298 0.0023 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 2-0.231031 0.031090-7.431088 0.0000 θ 3 0.168858 0.014629 11.54273 0.0000 θ 4-0.014617 0.007899-1.850499 0.0642 θ 5 0.987084 0.003216 306.8914 0.0000 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) 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