Proceedings of the Second International Conference On Economic and Business Management (FEBM 2017)

A study on the dynamic correlation between bond market and stock market

Authors
Mingwei Zhou, Yuan Zhang
Corresponding Author
Mingwei Zhou
Available Online October 2017.
DOI
10.2991/febm-17.2017.133How to use a DOI?
Keywords
Shanghai and Shenzhen 300; corporate bond; co-integration test; Granger causality test; impulse response; variance decomposition
Abstract

Based on the dynamic theory of stock market and bond market, this paper chooses corporate bond index and CSI 300 index, and uses the co-integration test of EG two-step method, Granger causality hypothesis test and impulse response to analyze the correlation of stock market and bond market. The results show that: first, there is no cointegration relationship between the bond market and the stock market; second, there is a one-way Granger causality between the bond market and the stock market; third, from the perspective of impulse response and variance decomposition, the bond market and the stock market have little effect.

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 Second International Conference On Economic and Business Management (FEBM 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
October 2017
ISBN
978-94-6252-423-1
ISSN
2352-5428
DOI
10.2991/febm-17.2017.133How 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  - Mingwei Zhou
AU  - Yuan Zhang
PY  - 2017/10
DA  - 2017/10
TI  - A study on the dynamic correlation between bond market and stock market
BT  - Proceedings of the Second International Conference On Economic and Business Management (FEBM 2017)
PB  - Atlantis Press
SP  - 989
EP  - 994
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-17.2017.133
DO  - 10.2991/febm-17.2017.133
ID  - Zhou2017/10
ER  -