关键词: 金融资产,股票,债券,收益相关性,GARCH模型

Abstract: The correlation between the returns of financial assets has an important impact on the investors’ diversification and decision of assets allocation. Stocks and bonds are the two main financial assets that investors can choose to invest. This paper adopts the dynamic conditional correlation multivariate GARCH model to estimate the correlation between the returns of China’s stock markets and bond markets. The results show that the correlation between the returns of China’s stock and bond markets displays some dynamic and time varying characteristics, and the correlation is fluctuating heavily. Besides, through the analysis of the principal factors influencing the correlation between the returns of China’s stock markets and bond markets, this paper reveals that the inflation rate and the risks of stock markets have significant impact on the correlation between the returns of China’s stock markets and bond markets.

Key words: financial assets; stocks; bonds; correlation between returns; correlation of GARCH model