The spillover effects between the stock market and T-bond market in China
BAI Jie1， ZHANG Maojun2， GUO Mengfei2
1.Education Institute of Taiyuan University， Department of Mathematics，Taiyuan 030032， China；2.School of Mathematics and Computational Science， Guilin University of Electronic Technology， Guilin， Guangxi 541004， China
Abstract：In order to study the spillover effects between China's stock and T-bond markets with the model of VAR-GARCH-BEKK， Hushen 300 index and Zhongzheng T-bond index are selected as the statistical samples to investigate the information transmitting. Empirical findings find that both the stock market and T-bond market have the volatility clustering effects， and there are two-way mean spillover effect between the stock market and T-bond market， while there only exists a pattern of volatility spillover from the stock market into the T-bond market.
白 颉,张茂军,郭梦菲. 股票市场与国债市场的溢出效应研究[J]. 华中师范大学学报(自然科学版), 2018, 52(5): 607-612.
BAI Jie,ZHANG Maojun,GUO Mengfei. The spillover effects between the stock market and T-bond market in China. journal1, 2018, 52(5): 607-612.
2018, Vol. 52 
