The Volatility Spillover Effect between the Stock Market and the Bond Market in China
用BEKK-MGARCH模型研究2006年11月至2011年2月中国股市与债市间的波动溢出效应，发现该效应随股市状态（牛市、熊市、反弹、震荡）而变化。
In order to better research the volatility spillover effect between the stock market and the bond market in China and provide operational investment strategy to investors,this paper uses BEKK-MGARCH model to study the volatility spillover effect based on the different stock market condition(bull,bear,rebound,shock) using the daily log return of the Hushen 300 Index's closed price and the China Bond Aggregate Index during November,2006 and February,2011.The results show that the fluctuation of the stock market and the bond market has significant ARCH effect.The volatility spillover effect between the two markets has obvious different characteristic when the stock market in different conditions.The volatility spillover effect exists only from the stock market to the bond market when the stock market in a bull or bear condition.The volatility spillover effect not exists between the two markets when the stock market in a rebounding condition.There exists two-way volatility spillover effect between the two markets when the stock market in a shock condition.