中文摘要：

文章将影响股票市场与债券市场的信息冲击分解为6种类型,利用向量移动平均模型考察了中国股市与债市受这些信息冲击的反应特征。研究发现不同信息对两市的收益率、收益波动风险及交易量的冲击具有各自的特征。总体上,这些信息对股票市场的影响要比对债券市场的影响更显著。

英文摘要：

This paper decomposes the market information of stock market and bond market into six types.The response characteristics of Chinese stock market and bond market to these information are examined by VMA model.The study shows that the different information may yield characteristics impact on the return,volatility and trading volume of the two market.Generally speaking,the impact of these information on the stock market is more significant than that on the bond market.