The Association Research about China's Bond Market and Stock Market
Guangbin Zhang, Chun Wei Cheng · 2011
From co-integration test, error correction model analysis and the Granger causality test, we found that there is a co-integration relationship between China's bond market and stock market in volume, but there is no Granger causality between the two markets. Overall, the connection between China's bond market and stock market is low, the reaction of the information is not particularly fast, and the two markets are in segmentation state. Based on positive research, some relevant suggestions will be put forward for the above conclusions.