The Studies on Spillover Risk Measure between Stock Market and Bond Market——Evidence from Shanghai Security Market in China
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Abstract Based on the VAR-DCC-MGARCH models, this paper estimates the VAR of two markets by analyzing the related volatility and spillover effect between Shanghai Stock Index and Shanghai Bond Index with validation test of probability of failures. The results show that: the dynamic conditional correlation coefficient between stock market and bond market shows highly time-varying characteristics. Stock market has significant volatility spillover effect on bond market. Given some probability of expected losses, it is also found that the ratio of risk to return for VaR of stock index return is higher than of bond index return, the risk return of stock index is higher than the risk return of bond index. Considering the VaR which excluded influence from the other market's volatility, two markets bears geater risks.
HAN Xin-Tao,CHEN Xu,HUANG Dang-Bei. The Studies on Spillover Risk Measure between Stock Market and Bond Market——Evidence from Shanghai Security Market in China. Economic Survey, 2012, 1(5): 0161.
2012, Vol. 1 
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