当这个问题提出后，很多投资者第一反应是他们的表现是反向关系。但这是事实吗？债券价格上涨时股市是否真的下跌？或者债券价格下跌时股市是否真的上涨？
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为了证明这点，我们通过使用迈云提供的互相关 模型，我们将过去20年里美国道琼斯指数E-Mini期货价格与CBOT美国30年期国债的期货价格走势进行分析。
As evident from the graph, both securities actually prove to have a historically high positive correlation (r从上图中可以明显看出，两种市场表现实际上证明历史上彼此具有的强正相关（r = 72.84%) with each other.Indeed, the two often move in opposite directions in the short run, especially seen in the crisis years 2008-2010. During times of uncertainty, stock prices will fall significantly, as investors seek safety in T-bonds, hence driving its price up.In general, stocks are much more sensitive to market cycles than bonds. Bond yield is often considered an indicator of investors' confidence: during bull markets, prices of T-bonds will fall instead, as investors take on more risk and look for higher-return investments in stocks, causing it to outperform bonds.84％）。
事实上，这两者往往在短期内朝着相反的方向发展，尤其是在2008-2010年次贷危机。在经济发展不确定时期，投资者避险情绪偏高，通常会卖出股票，同时买入避险资产，比如美国国债，因此打压股市价格，从而推动债券价格上涨。一般而言，股市对经济周期比债券更敏感。债券收益率通常被视为投资者信心的一个指标：在股市牛市期间，国债的价格将会下降，因为投资者愿意承担更多股市风险从而寻求更高的回报投资，从而使其表现优于债券市场。
However, as the two assets are affected by common market trends, they tend to move in the same direction in the long run. A lower bond yield would attract investors to invest in stocks that provide higher percentage returns. This is particularly evident when an economy is just recovering from a recession – both stock and bond prices move up in tandem, as interest rates are low and economic growth is expected to pick up. As the Fed is easing monetary policy recently to boost the economy, such a positive correlation is likely to be seen in recent times as well.
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Given the current situation:
What should investor’s expectation of future yields (and hence stock prices) be? Would monetary expansion continue or eventually reverse?
Is the current upward trend in stock prices driven by lowering yields or improving market sentiment? Are we entering a bull market, or would there be a correction if policy intervention ends?
Are current stock prices expensive or cheap? In next week’s article, we would be analysing this question using the Spread AnalysisModel. So stay tuned!
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