시간가변적인 중국 주식과 국채시장 간에 동조화
- Issued Date
- 2017
- Abstract
- This paper examines the impact of financial market uncertainty on the comovement between stock and government bond in Chinese financial markets. Time-varying financial asset return comovement is proxied by pair wise realised correlations between stock and government bond returns in Shanghai, Shenzhen and Hong Kong stock markets from 2003Q2 to 2016Q4. Employing the OLS regression technique, the paper finds that a market uncertainty proxied by the VIX has a negative effect on comovement between stock and government bond markets in China.
- Alternative Title
- Time-Varying Stock and Government Bond Market Comovement in China
- Alternative Author(s)
- Zhang xinrong
- Department
- 일반대학원 경영학과
- Advisor
- 이현철
- Awarded Date
- 2017-08
- Table Of Contents
- ABSTRACTⅠ. Introduction Ⅱ. Literature ReviewⅢ. Methodologies A. Measuring realised correlations between Chinese stock and bond returns. B. The OLS estimation resultsⅣ. Date Issues A. Stock and bond returns B. Explanatory variables Ⅴ. Empirical Results A. Results for the OLS regressions for Shanghai, Shenzhen and Hong Kong markets B. Robustness analyses Ⅵ. Summary and Concluding RemarksReferencesAppendix 1Appendix 2
- Degree
- Master
- Publisher
- 조선대학교
- Citation
- 장흔영. (2017). 시간가변적인 중국 주식과 국채시장 간에 동조화.
- Type
- Dissertation
- URI
- https://oak.chosun.ac.kr/handle/2020.oak/13294
http://chosun.dcollection.net/common/orgView/200000266357
- Appears in Collections:
- General Graduate School > 3. Theses(Master)
- Files in This Item:
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