Analyzing the Influence of Capital Market Opening-up on Stock and Bond Market Risks
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 Na-tional 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 depart-ments.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 mar-kets,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 di-rect impact and indirect spillover,the risk of stock market decreased by 9％within one month,while the risk of bond market in-creased by 53％within 0～2 weeks.Among them,policies reduced stock market risk by improving investors'rationality,and in-creased 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 op-erates 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 indi-rect spillover on stock market risk.Based on the above research conclusions,this article puts forward the following policy sug-gestions: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 cau-tions 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.
Capital Market Opening-up PolicyFinancial Market RiskEvent Analysis Method
万方数据
维普
