Price Discovery in Chinese Stock and Bond Markets around Macroeconomic Announcements

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姓名

朱敏璇(Min-Hsuan Chu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

(Price Discovery in Chinese Stock and Bond Markets around Macroeconomic Announcements)

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摘要(中)

本文所研究的兩個主題為：一，總體經濟訊息發布對中國股票市場和債券市場的影響，並將研究標的再區分成現貨市場和期貨市場；二，總體經濟訊息發布的情況下，股票市場與債券市場的外溢效果。本文選擇五種不同的商品，分別是滬深300指數 (CSI 300 index) 、上証國債指數 (SSE Government Bond index)、滬深300指數期貨 (CSI 300 index futures)、五年期國債期貨 (SSE Treasury Bond futures)、十年期國債期貨 (ten-year Treasury Bond futures)，樣本研究區間從2015/04 至 2018/03。根據Andersen et al. (2007)，採用兩階段加權最小平方法 (WLS) 分析訊息發布後市場的反應；另外，採用結構型向量自回歸模型 (SVAR) 分析股票與債券市場之間的外溢效果。研究結果顯示：一，M2貨幣供給 (M2 money supply)、新增人民幣貸款 (new yuan loan)、流通在外貸款增加率 (outstanding loan growth)三者對中國股債市場有顯著影響；二，股票市場中，現貨相對於期貨對於總體經濟訊息的反應較快；債券市場與之相反，期貨相對於現貨反應較快；三，關於股票與債券的同期關係，股票市場對債券市場有正向影響；反之，除了五年期國債以外，債券市場對股票市場有負向影響。

摘要(英)

How do returns and volatility respond to macroeconomic announcements in Chinese stock and bond futures and spot markets? This thesis also examines the spillover effects between stock and bond markets around macroeconomics news. This thesis chooses CSI 300 index, SSE government bond index, CSI 300 index futures, five-year Treasury Bond Futures, and ten-year Treasury Bond Futures as the empirical sample and I use the high-frequency five-minute return from April 1st, 2015 to March 30th, 2018. Follow Andersen et al. (2007), the study adopts two-stage weighted least squares (WLS) regression for news effects and structural vector autoregression (SVAR) model for spillover effects. The following are three main empirical results of this thesis. First, M2 money supply, new yuan loan, and outstanding loan growth have a significant impact on assets returns and volatility. Second, in the stock market, the spot is a better research object than futures but futures is a better research object than the spot in the bond market. Third, about the contemporaneous linkages between stock and bond, there are opposite effects: stock affects bond positively but bond affects stock negatively, except for five-year Treasury bond futures.

關鍵字(中)

★ 總體宣告
★ 股票市場
★ 債券市場
★ 高頻資料
★ 外溢效果

關鍵字(英)

★ Macroeconomic news
★ Stock market
★ Bond market
★ High-frequency
★ Spillover

論文目次

摘要 i
Abstract ii
Acknowledgments iii
Table of Contents iv
List of Tables v
List of Figures vi
Chapter 1 Introduction 1
Chapter 2 Literature Review 5
2.1 Price Discovery between Spot and Futures Markets 5
2.2 News Effects in the Stock Market 6
2.3 News Effects in the Bond Market 7
2.4 Information Transmission between Stock and Bond Markets 8
Chapter 3 Data and Preliminary Results 11
3.1 Spot Markets 11
3.2 Futures Markets 12
3.3 Macroeconomic News 13
3.4 High-frequency Returns around Macroeconomic Announcements 14
3.5 Statistical Summary 15
Chapter 4 Methodology 17
4.1 Assets Returns 17
4.2 Macro News Surprises 17
4.3 Dynamic News Effects 18
4.4 Return Spillover 20
Chapter 5 Empirical Results 22
5.1 New Effects 22
5.1.1 News Effects on Spot Markets 22
5.1.2 News Effects on the Futures Markets 24
5.1.3 Comparison of Spot and Futures Markets 27
5.2 Spillover between Stock and Bond Returns 28
Chapter 6 Conclusions 30
References 32
Appendix 56

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2018-7-17

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