我國股市與債市的相關(guān)性研究.pdf

1、廈門大學(xué)碩士學(xué)位論文我國股市與債市的相關(guān)性研究姓名：張麗賢申請學(xué)位級別：碩士專業(yè)：國際金融學(xué)指導(dǎo)教師：李曉峰20090401AbstractInthesecurityfield，portfolioinvestmentincludingstocksandbondsistraditionalPortfolioinvestmentcanmaximizebenefitsandminimizetheriskofcircumventionSOthe

2、studyontherelativitybetweenthestockandbondmarketisimportantFirstofall，ithelpsinvestorstopricetheassetsfight；secondlyitwillhasanimportantimpactoninvestors’decision—makingtoachievegreaterbenefit；intheend，it啪helpmanagerstof

3、ormulatepoliciesandpreventagainstthepolicywillhaveanegativeimpactontheotherhandForthestockandbondmarket，peoplearemostconcernedabouttheirreturnSo，researchontherelativitybetweenthestockandbondmarketisimportantThepurposeoft

4、hispaperistoexplorethatthestockandbondmarkethaverelativityornot；iftherelativityexists，whatformistherelativityandwhatmacroeconomicfactorsaffecttherelativitybetweenthetwomarketsTIlisdissertationperformstheoreticanalysisoft

5、hejointstockbondpricingmodelBystudyingthesemodels，thecommonfactors，whichaffecttheretalrnofstocksandbonds，areexploredTllisdissertationalsotheoreticallyanalyzesthepotentialimpactofmacroeconomicfactorsonthereturnofstocksand

6、bondmarkets，suchasinterestrateinflationmoneysupplyindustryaddedvalue，theenterpriseprosperityindex，andSOonInthisdissertationanempiricalanalysisoftherc1ativitybetweenthestockandbondmarketisperformedWefoundthatthestockandbo

7、ndmarketyieldscorrelationofthereturnbutmeircorrelmionisweak；thereturnofthebondmarketdoesGrangercausethereturnofthestockmarket，butthereturnofthestockmarketdoesnotGrangercauseonthereturnofthebondmarketAtthesametimewealsoan

8、alyzethepotentialimpactofmacrocconomicfactorsonthereturnofstockandbondmarketsWefoundthatthedevelopmentofChinassecuritymarketiSnotmaturetherealesomeflaws，thesegmentationofthestockandbondmarketseriouslydistortsthecorrelati

9、onofChinesestockandbondmarketAtlastbasedonthetheoreticalanalysisandempiricalstudyandtakingintoaccounttheadvancedexperienceofmature向商印securitymarkets，somepolicysuggestionsinregardtothedevelopmentofChinesesecuritymarketare