A study on the dynamic correlation between bond market and stock market
Mingwei Zhou, Yuan Zhang · 2017
Based on the dynamic theory of stock market and bond market, this paper chooses corporate bond index and CSI 300 index, and uses the co-integration test of EG two-step method, Granger causality hypothesis test and impulse response to analyze the correlation of stock market and bond market.The results show that: first, there is no cointegration relationship between the bond market and the stock market; second, there is a one-way Granger causality between the bond market and the stock market; third, from the perspective of impulse response and variance decomposition, the bond market and the stock market have little effect.