Stock and Bond Market Liquidity:The Spillover Effects
研究中国股票和国债市场之间的流动性关联，发现两者存在领先滞后关系和双向格兰杰因果，且股票流动性对债券流动性的影响符合避险或逃向流动性现象，宏观环境变化显著影响两个市场流动性，冲击主要通过一个市场传导至另一个市场。
This paper establishes liquidity linkage between stock and government bond markets in China.There is a lead-lag relationship between the liquidity of the two markets and bi-drectional Granger causality.The effect of stock liquidity on bond liquidity is consistent with flight-to-quality or flight-to-liquidity episodes.Changes in the macro environment impact the liquidity of two markets significantly.More importantly,the shocks mostly are transferred to one of the markets through the other market,which acts as a channel.The paper provides important evidence of liquidity integration between stock and bond markets.