本文在纳入较为全面的资本市场开放政策,考虑股票、债券市场之间关联关系的基础上,探究资本市场开放政策引致的直接冲击和间接溢出如何影响股票、债券市场风险,并进行相应的机制检验和政策异质性分析。本文的主要结论包括：第一,资本市场开放政策出台之后,在直接冲击和间接溢出的共同影响下,股票市场风险在一个月内下降9%,债券市场风险在0~2周内上升53%。第二,政策通过提高投资者理性水平降低股票市场风险,通过加强内外联动提高债券市场风险。上述实证结果支持资本市场开放对金融市场风险影响的“两面性”。政策带来的直接冲击对股票、债券市场风险变化起主导作用,间接溢出方向与直接冲击相反。上述结果通过稳健性检验。具体而言,间接溢出分别在股票市场、债券市场抵消约31%、10%的直接冲击影响。第三,直接影响股票市场的政策对股票市场风险造成负向直接冲击,对债券市场风险造成负向间接溢出;直接影响债券市场的政策对债券市场风险造成正向直接冲击,对股票市场风险造成正向间接溢出。
Abstract
The opening up of capital markets has a direct impact on China's stock and bond markets. In response to the requirements of“promoting high-standard opening up”and“guarding against financial risks”put forward by the 20th National Congress of Communist Party of China, this article aims to clarify the impact of capital market opening-up policies on the risk of China's stock and bond markets through empirical analysis. This article has sorted out a total number of 34 policies that are conducive to expanding or facilitating capital market opening-up from the official website of financial regulating departments. In addition, financial market data together with macro-economic and macro-financial data have been obtained from Wind and CEIC databases. In the research process, this article has included the relationship between the stock and bond markets, explored how the direct impact and indirect spillover of capital market opening-up policies affect the risk of the stock and bond markets, and conducted corresponding mechanism testing and policy heterogeneity analysis. The main conclusions of this article are as followed. Firstly, after the introduction of capital market opening-up policies, with the combined influence of direct impact and indirect spillover, the risk of stock market decreased by 9% within one month, while the risk of bond market increased by 53% within 0 ~ 2 weeks. Among them, policies reduced stock market risk by improving investors' rationality, and increased bond market risk by strengthening internal and external linkage. The above empirical results support the“double-sidedness”of the impact of capital market opening-up on financial market risks. Secondly, the direct impact brought about by policies plays a leading role in the changes in risk for both the stock and bond markets, while the indirect spillover operates in the opposite direction to the direct impact. The above results have passed the robustness test. Specifically, indirect spillover offsets about 31% and 10% of the direct impact on the stock market and bond market respectively. Finally, policies that directly affect the stock market have a negative direct impact on stock market risk and a negative indirect spillover on bond market risk. Policies that directly affect the bond market have a positive direct impact on bond market risk and a positive indirect spillover on stock market risk. Based on the above research conclusions, this article puts forward the following policy suggestions: Firstly, close attention should be paid to financial market risks, especially bond market risks, when introducing capital market opening-up policies; secondly, priority can be given to the introduction of stock market opening-up policies and cautions should be exercised while introducing bond market opening-up policies; finally, when implementing these policies, it's crucial to guide investors in the stock market to invest rationally and to prevent resonance between domestic and foreign bond markets.
关键词
资本市场开放政策 /
金融市场风险 /
事件分析法
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Key words
Capital Market Opening-up Policy /
Financial Market Risk /
Event Analysis Method
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脚注
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基金
*本文获国家社会科学基金重大项目“中国金融安全统计监测、预警与对策研究”（23&ZDO58）、国家自然科学基金面上项目“金融文本大数据与银行业系统性风险：指标构建、应用与评估整合”（72173144）、国家自然科学基金面上项目“金融周期视角下的中国银行业系统性风险防范与化解研究”（71973162）资助
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