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中文摘要：
本文使用非对称动态条件相关系数（ADCC）模型，研究债券市场与股票市场的相关系数随时间变化的情况。发现由于经济运行情况和宏观政策等外部的不确定因素的影响，两个市场的相关关系存在结构性变化，同时两个市场对冲击的反应程度也不尽相同。本文还揭示出对股市-债市联动来说，其相关系数受到联合负冲击的影响要大于联合正冲击的影响；而对股市-股市联动来说，联合正冲击的影响要大于联合负冲击的影响。本研究对投资组合的构建、金融市场监管和风险控制有重要价值。
英文摘要：
The paper uses ADCC model to study the correlation between bond market and stock market with time varying in China. The result reveals that there are some structural changes in the correlations between these two markets because of the effect of external uncertainty, such as economic performance and macroeconomic policy. The authors also find that the bond-stock correlations respond more strongly to the joint negative shocks than joint positive shocks. However, the stock-stock correlation is found to increase for joint positive shocks. The findings have useful information for the portfolio managements, market regulation and risk controls.
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