摘要
文章利用2011年11月至2019年6月的相关数据,运用多种计量方法探讨了信用利差与股市收益、波动之间的关系。月度宏观数据表明,股市收益、波动对信用利差的影响不显著;信用利差对股市收益、波动存在较弱影响,在2015年股市异常波动之后,伴随着债券违约的不断爆发,信用利差对股市收益、波动的负向影响越来越显著。
We discuss the relationship between credit spread with the return and volatility of the stock market by using relevant data of 2011.11~2019.6 by variety of measure methods.Monthly macro data shows that the return and volatility of stock market have no significant impacts on credit spread,but credit spread has the weaker influence to the return and volatility.After the abnormal volatility of the stock market in 2015,accompanied by the continuous outbreak of bond defaults,the negative impact of credit spreads on the return and volatility has become more and more significant.
作者
陶可
Tao Ke(School of Finance,Nanjing Audit University,Nanjing,Jiangsu,211815)
出处
《市场周刊》
2021年第9期102-105,共4页
Market Weekly
基金
2019年度江苏高校哲学社会科学研究一般项目“绿色供应链金融支持中小企业融资模式探究”(项目编号:2019SJA0348)的阶段性成果。
关键词
信用利差
股市收益率
股市波动率
波动溢出
credit spread
stock market yield
stock market volatility
volatility overflow
作者简介
陶可,男,江苏徐州人,博士,南京审计大学金融学院讲师,研究方向:资本市场。
