Research on Dynamic Correlation between Interbank Bond Market and Shanghai Exchange Bond Market: An Analysis Based on DCC-MGARCH Model

This paper examines the dynamic correlations between Interbank Bond Market and Shanghai Stock Exchange Bond Market in China on base of the DCC-MGARCH model.The empirical results show that: the correlations of two bond markets are overall positive and volatility is lower,however,the symbol of time-varying is not obvious;the dynamic correlations are not relatively enhanced as time,which indicates that the integration of interbank bond market and stock exchange bond market is not strengthening in China.Comparing with other finance market,the dynamic correlation level is obviously low,and the symbol of division is still obvious.The government should remove unreasonable enter-limit and market barrier,and establish the policies and laws to improve the integration of two bond markets which is favorable to the formation of good market base and institutional environment to set up integrated,correlated,efficient bonds market.