中国与国际债券市场收益特征及联动性研究
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上海财经大学学报 2012 年 第 14 卷第 06 期, 页码：70 - 76
摘要
参考文献
摘要
国际债券市场联动效应是研究国际金融市场有效性的重要内容。本文对中国与国际债券市场收益波动特征及联动性进行了初步分析。结果表明,中国与不论发达国家债券市场还是其他新兴债券市场,都处于一定的分割状态。相对于中国,亚洲非资本管制型代表国家印度尼西亚与发达国家债券市场的相关性也较低,但与其他新兴市场国家的相关性则明显较强,反映了该国资本市场的开放性影响。金融危机期间,包括中国在内的全球债券市场之间表现出明显的波动同步性和溢出效应。
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[3]Mills Terence,Mills A.G.The international transmission of bond market movements[J].Bulletin of Eco-nomic Research,1991,43(3):273-281.
[4]Clare A.D.,Maras M.,Thomas S.H.The integration and efficiency of international bond markets[J].Journal of Business Finance&Accounting,1995,22(2):313-322.
[5]Sutton Gregory.Is there excess comovement of bond yields between countries?[J].Journal of Interna-tional Money Finance,2000,19:363-376.
[6]Smith Kenneth L.Government bond market seasonality,diversification,and cointegration:internationalevidence[J].Journal of Fiancial Research,2002,25(2):203-221.
[7]Yang Jian.International bond market linkages:a structural VAR analysis[J].Journal of International Fi-nancial Markets Institutions&Money,2005,15:39-54.
[8]Skintzi V.D,Refenes A.N.Volatility spillovers and dynamic correlation in European bond markets[J].Journal of International Financial Markets Institutions&Money,2006,16:23-40.
[9]Engsted Tom,Tanggaard Carsten.The comovement of US and German bond markets[J].InternationalReview of Financial Analysis,2007,16:172-182.
[10]Ciner Cetin.Dynamic linkages between international bond markets[J].Journal of Multinational FinancialManagement,2007,17:290-303.
[11]Laopodis N.T.Government bond market integration with Europe Union[J].International ResearchJournal of Finance and Economics,2008,19:56-76.
[12]Abad Pilar,Chelia Helena and Gomez-Puig Mara.EMU and European Government bond market inte-gration,European Central Bank,2009,working paper.
[13]Engle Robert.Dynamic conditional correlation[J].Journal of Business&Economic Statistics,2002,20(3):339-350.
引用本文
高江. 中国与国际债券市场收益特征及联动性研究[J]. 上海财经大学学报, 2012, 14(6): 70–76.
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