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Contagion effect between China's bond market and China's stock market are analyzed by Granger-causality test among four markets, which are exchange bond market, interbank bond market, Shanghai stock market and Shenzhen stock market. The empirical results show that there is a two-way strong contagion effect between exchange bond market and inter-bank bond market, and there is a one-way contagion effect from Shanghai stock market and Shenzhen stock market to inter-bank bond market, and there is no contagion effect between exchange bond market and stock market. The results indicate that the unified degree of China's bond market increases, and the bond market can hedge risk of stock market, and the exchange bond market is independent of the stock market and has little influence on the stock market. |
