| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 106 === How do returns and volatility respond to macroeconomic announcements in Chinese stock and bond futures and spot markets? This thesis also examines the spillover effects between stock and bond markets around macroeconomics news. This thesis chooses CSI 300 index, SSE government bond index, CSI 300 index futures, five-year Treasury Bond Futures, and ten-year Treasury Bond Futures as the empirical sample and I use the high-frequency five-minute return from April 1st, 2015 to March 30th, 2018. Follow Andersen et al. (2007), the study adopts two-stage weighted least squares (WLS) regression for news effects and structural vector autoregression (SVAR) model for spillover effects. The following are three main empirical results of this thesis. First, M2 money supply, new yuan loan, and outstanding loan growth have a significant impact on assets returns and volatility. Second, in the stock market, the spot is a better research object than futures but futures is a better research object than the spot in the bond market. Third, about the contemporaneous linkages between stock and bond, there are opposite effects: stock affects bond positively but bond affects stock negatively, except for five-year Treasury bond futures.
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