2、tioncoefficientandGrangercausality. The resultshowsthat:statebondindexandstockindexexistcorrelation,stockindexexistsunidirectionalGrangercausalityrelationshiponbondindex;statebondyieldsandstockyieldsexistweakcorrelation,butGrangercausalityrelationshipdoesnotexist.Acc
4、在单向格兰杰因果关系;国债收益率和股票收益率存在微弱相关关系,不存在格兰杰因果关系。据此,我们就如何提高我国资本市场效率提出几点建议。 关键词:债券市场股票市场相关性分析相关系数因果关系 Abstract:WeanalysizeChina’sstockmarketandbondmarketcorrelationusingcorrelationcoefficientandGrangercausality. The resultshowsthat:statebondindexandstockindexexistcorrelati
6、ndmarket;stockmarket;correlationanalysis;correlationcoefficient;causality如何提高我国资本市场效率提出的几点建议 摘要:我们采用相关系数和Granger因果关系对我国股票市场和债券市场相关性进行分析。结果表明:国债指数和股票指数存在弱负相关关系,股票指数对债券指数存在单向格兰杰因果关系;国债收益率和股票收益率存在微弱相关关系,不存在格兰杰因果关系。据此,我们就如何提高我国资本市场效率提出几点建议。 关键词:债券市场股票市场相关性分析相关系数因果关系 A
7、bstract:WeanalysizeChina’sstockmarketandbondmarketcorrelationusingcorrelationcoefficientandGrangercausality. The resultshowsthat:statebondindexandstockindexexistcorrelation,stockindexexistsunidirectionalGrangercausalityrelationshiponbondindex;statebondyieldsandstocky