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中文摘要：
将利率作为外生变量,运用VAR-（BV）EGARCH模型对可转债市场与股票市场之间的溢出效应进行研究。研究结果表明：在收益溢出方面,只存在股票市场对可转债市场的溢出效应。在波动溢出方面,存在可转债市场与股票市场之间的双向溢出效应;并且存在利率市场向股票市场的单向波动溢出效应。从非对称溢出效应来看,存在股票市场对可转债市场的波动溢出的非对称性,由此可以看出,股票市场仍然是出于绝对支配地位的金融市场。
英文摘要：
Based on VAR-（BV）EGARCH model which introduces interest rate as exogenous variable in the first time,this paper studies on the spillover effects between Chinese convertible bonds and stock markets.The research results can be divided into three aspects.Firstly,return spillover only exists from stock to convertible bonds markets;secondly,there are bidirectional volatility spillover effects between convertible bonds and stock markets.At the same time,volatility spillovers exist from interest rate market to stock market.Thirdly,there is asymmetric spillovers effect from stock to bonds convertible markets.So we can see that the stock market is still absolutely dominant in these two financial markets.
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