Study on the Relationship Between Term Structure of Treasury Interest Rate and Stock Market Valuation

DOI

10.2991/assehr.k.200401.046How to use a DOI?

Keywords

term structure of Treasury bond interest rate, stock market valuation, nelson-siegel model

Abstract

In recent years, with the rapid development of China’s macro economy, the scale of the financial market is also constantly expanding, so the status of the stock market and bond market in the macro economy is also constantly improving, especially the relationship between China’s national debt market and the stock market is also increasingly close. Therefore, it is necessary to study the linkage between the Treasury bond market and the stock market. In January 2008 to December 2017 as samples, this article selects the Treasury yields at sight and weighted average p/e ratio of stock market monthly data as sample, using the Nelson-Siegel can be derived from the model of slope, curvature and level three characteristic factor, and further combined with the weighted average p/e ratio of the stock market to build VAR model, and analyzes their relationship. The conclusion shows that there is a significant negative correlation between the level factor and the stock market valuation level, while there is no significant correlation between the slope and curvature factor and the stock market valuation level. Therefore, to improve the issuance structure of Treasury bonds, optimize the number of Treasury bonds of different maturities and improve the pricing efficiency of Treasury bonds can reduce the systemic risk of the Treasury bond market to a certain extent. This is of great significance to the development of China’s national debt market.

Copyright

© 2020, 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/).

Download article (PDF)

TY  - CONF
AU  - Yanliang Zhang
AU  - Yue Zhao
PY  - 2020
DA  - 2020/04/06
TI  - Study on the Relationship Between Term Structure of Treasury Interest Rate and Stock Market Valuation
BT  - Proceedings of the International Conference on Education, Economics and Information Management (ICEEIM 2019)
PB  - Atlantis Press
SP  - 201
EP  - 207
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.200401.046
DO  - 10.2991/assehr.k.200401.046
ID  - Zhang2020
ER  -