公司债券与股票间极端风险溢出研究——基于分位Granger因果关系模型
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引用本文:曾志坚, 谢天赐, 刘光宇.公司债券与股票间极端风险溢出研究——基于分位Granger因果关系模型[J].湖南大学学报社会科学版,2021,(2):86-95
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曾志坚, 谢天赐, 刘光宇 (湖南大学 工商管理学院, 湖南 长沙 410082) 
中文摘要:公司债券与股票是公司融资的重要手段,两者间的极端风险溢出备受关注。从微观层面出发,利用2010-2019年126家发行公司债券的上市公司面板数据,本研究采用分位GARCH模型度量公司债券与股票极端风险,在此基础上运用分位Granger因果关系模型考察两者间极端风险溢出。研究结果表明:公司债券的极端风险整体上低于股票的极端风险;公司债券与股票共同受公司价值影响,两者间存在显著的极端风险溢出;公司债券与股票间的极端风险溢出具有非对称性,即公司债券对股票的极端风险溢出强度高于股票对公司债券的极端风险溢出强度;股灾的爆发对上市公司经营环境产生了冲击,使公司债券与股票的极端风险增大,两者间的极端风险溢出强度随之增大。
中文关键词:公司债券  股票  极端风险溢出  分位GARCH模型  分位Granger因果关系模型
 
Risk Spillover Effects between Corporate Bond and Stock: Based on Extreme Quantile Granger Causality Model
Abstract:Corporate bond and stock are both important means of corporate financing, and the risk spillover between them has attracted much attention. In this paper, 126 listed companies issuing corporate bonds from 2010 to 2019 are taken as samples. The quantile linear GARCH model is used to measure the extreme risk. The panel quantile Granger causality model is used to test the risk spillover between corporate bond and stock. The results show that: The extreme risk of corporate bonds is generally lower than that of stocks. Because corporate bond and stock are affected by corporate value, there is significant extreme risk spillover between them. The extreme risk spillover between corporate bonds and stocks is asymmetric, indicating that the intensity of extreme risk spillover from corporate bonds to stocks is higher than that from stocks to corporate bonds. The outbreak of stock crash has an impact on the operating environment of listed companies, increasing the extreme risk of corporate bonds and stocks, and increasing the intensity of extreme risk spillover between them.
keywords:corporate bond  stock  extreme risk spillover  quantile GARCH model  quantile Granger causality model
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