Proceedings of the 2017 International Conference on Education, Economics and Management Research (ICEEMR 2017)

The Linkage of Government Bond and Stock Markets in China

Authors
Ming Fang, Chiu-lan Chang
Corresponding Author
Ming Fang
Available Online May 2017.
DOI
10.2991/iceemr-17.2017.62How to use a DOI?
Keywords
government bond, quantile regression, linkage, diversification
Abstract

This paper examines the linkage of government bond and stock markets in China. We illustrate these ideas in simple empirical settings, implementing the relatively techniques from quantile regression. The analysis of extreme quantiles observes that the linkage of government bond and stock markets is negative while the stock market goes down. Our contribution provides the ability to estimate the diversification effects to international investors that are attributed to the government bond and stock market in China. This study has important implications for risk management and asset allocations during extremes. Furthermore, the finding is also important for international asset pricing since the exposure to the joint extreme risk and thus should be included in pricing international assets.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2017 International Conference on Education, Economics and Management Research (ICEEMR 2017)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
May 2017
ISBN
978-94-6252-343-2
ISSN
2352-5398
DOI
10.2991/iceemr-17.2017.62How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Ming Fang
AU  - Chiu-lan Chang
PY  - 2017/05
DA  - 2017/05
TI  - The Linkage of Government Bond and Stock Markets in China
BT  - Proceedings of the 2017 International Conference on Education, Economics and Management Research (ICEEMR 2017)
PB  - Atlantis Press
SP  - 243
EP  - 246
SN  - 2352-5398
UR  - https://doi.org/10.2991/iceemr-17.2017.62
DO  - 10.2991/iceemr-17.2017.62
ID  - Fang2017/05
ER  -