International Journal of Social Science & Economic Research
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Title:
RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE OF INTEREST RATE AND CHINESE STOCK RETURNS

Authors:
Zhang Wenjing , Xiao Yushun

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Zhang Wenjing1 , Xiao Yushun2
1. College of Economics and Management, Nanjing University of Aeronautics and Astronautics, China
2. College of Computer Science and Technology, Nanjing University of Aeronautics and Astronautics, China

MLA 8
Wenjing, Zhang, and Xiao Yushun. "RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE OF INTEREST RATE AND CHINESE STOCK RETURNS." Int. j. of Social Science and Economic Research, vol. 4, no. 1, Jan. 2019, pp. 647-663, ijsser.org/more2019.php?id=51. Accessed Jan. 2019.
APA
Wenjing, Z., & Yushun, X. (2019, January). RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE OF INTEREST RATE AND CHINESE STOCK RETURNS. Int. j. of Social Science and Economic Research, 4(1), 647-663. Retrieved from ijsser.org/more2019.php?id=51
Chicago
Wenjing, Zhang, and Xiao Yushun. "RESEARCH ON CORRELATION BETWEEN THE TERM STRUCTURE OF INTEREST RATE AND CHINESE STOCK RETURNS." Int. j. of Social Science and Economic Research 4, no. 1 (January 2019), 647-663. Accessed January, 2019. ijsser.org/more2019.php?id=51.

References
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Abstract:
The paper first use the dynamic Nelson-Siegel model to estimate the level, slope and curvature factor of the term structure of Chinese inter-bank bond interest rate, and then construct a timevarying vector autoregressive model between the three factors and the stock market return rate to find the influence mechanism in them. Finally, we analyze the response function results and find that the impact of Chinese stock market returns on the term structure of interest rates is greater than the impact of term structure of interest rate on stock market returns, that the response direction and degree of the level, slope, curvature factor on the stock market returns are different, that the impact of the term structure of interest rates on the stock market returns is mainly generated by the slope factor. Therefore there is a relatively unstable liquidity premium between the long-term and short-term interest rates of Chinese national debt.

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