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中文摘要：
金融资产收益之间的相关性对于投资者的分散化投资与资产配置决策有着重要的影响。股票和债券是可供投资者选择的最主要的两种金融资产。基于DCC（Dynamic Conditional Correlation）多元变量GARCH模型（Multivariate GARCH Model）对我国股票市场和债券市场收益之间的相关性进行估计，结果表明我国股票和债券收益之间的相关性呈现出动态时变的特征，并且相关性的波动性很大。此外，通过对影响我国股票和债券收益之间相关性的主要因素进行的分析，发现通货膨胀率和股票市场风险会对我国股票和债券收益之间的相关性产生显著影响。
英文摘要：
The correlation between the returns of financial assets has an important impact on the investors＇ diversification and decision of assets allocation. Stocks and bonds are the two main finan- cial assets that investors can choose to invest. This paper adopts the dynamic conditional correlation multivariate GARCH model to estimate the correlation between the returns of China＇s stock markets and bond markets. The results show that the correlation between the returns of China＇s stock and bond markets displays some dynamic and time varying characteristics, and the correlation is fluctuating heavily. Besides, through the analysis of the principal factors influencing the correlation between the retums of China＇s stock markets and bond markets, this paper reveals that the inflation rate and the risks of stock markets have significant impact on the correlation between the returns of China＇s stock markets and bond markets.
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