中文摘要：

基于VAR（K）-BEKK—MGARCH（1，1）和AR（K）-DCC（1，1）．MGARCH模型探讨了我国股票市场与债券市场之间波动溢出效应和动态相关性。结果表明：股市对企债市场、企债市场对国债市场，这2种情况存在单向的波动溢出效应，而这3个市场其他组合方向的波动溢出效应均不显著，可以得出股市对债市有单方面的波动影响。国债和企债、国债和股市，它们之间的相关关系具有时变性，而企债和股市间的相关关系均比较稳定不具有时变性，债市和股市的相关关系较弱，2个市场分割特征明显，连通性很弱，市场资源配置能力差。

英文摘要：

Based on VAR （K） -BEKK-MGARCH （ 1,1 ） and AR （K） -DCC （ 1,1 ） -MGARCH models ,the volatility spillover effects and dynamic correlation among the government bond, corporate bond and stock market in our country were discussed. The results showed that the following two situations exists single direction volatility spillover effects：stock market to corporate bond market, corporate bond market to government bond market. It is concluded that the stock markets has unilateral volatility spillover effects to bond markets. And the volatility spillover effects are not significant on other combined directions among the three markets. The correlation between the government bond market and corporate bond market has a significant time-varying characteristic. The correlation between the government debt market and stock market is also. The correlation between the corporate bond market and stock market is stable. Overall, the correlation between stock markets and debt market is weak, and the nature of market segmentation is evident, the connectivity is very weak, the capacity of market in allocation of resources is disappointing.