Abstract： 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.
何宜庆； 陈平. 股市与债市之间波动溢出效应及动态相关性实证分析[J]. 南昌大学学报（工科版）, 2012, 34(01): 87-92.
HE Yi-qinga,CHEN Pingb. Empirical Study of the Volatility Spillover Effects and Dynamic Correlation between Stock Market and Bond Market in China. , 2012, 34(01): 87-92.
2012, Vol. 34 
