On the Market Interconnection,Risk Spillover and Financial Stability
基于Copula理论，研究了2002至2009年中国股市与债市的风险溢出和结构变化，发现两市场联动不显著，跨市场套利导致跷跷板效应，而债市相对分割有助于极端条件下防范系统性风险。
Assessing the risk spillover effect in the bond market interconnection process has important significance for further improving China financial system reform.Based on Copula theory,the paper researches the risk spillover as well as structure variations features of stock market and bond market during 2002 to 2009.The results indicate that the linkage effect between stock market and bond market is not significant in general,and with the unification of China financial market accelerating,investors can optimize resource allocation by crossmarket arbitrage trading,which makes the stock market and the bond market display see - saw effect,and relatively segmented bond markets avoid the mutual transmission of systemic risk under extreme conditions, which is good to maintain financial stability.