The Determinants of the Nondefaultable Spreads of Corporate Bonds: Evidence from China | Zendy

Baochen Yang | Zendy; Zijian Wu | Zendy; Yunpeng Su | Zendy

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The Determinants of the Nondefaultable Spreads of Corporate Bonds: Evidence from China

Author(s) -

Baochen Yang,

Zijian Wu,

Yunpeng Su

Publication year - 2021

Publication title -

discrete dynamics in nature and society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.264

H-Index - 39

eISSN - 1607-887X

pISSN - 1026-0226

DOI - 10.1155/2021/5595099

Subject(s) - market liquidity , bond , bond market , corporate bond , china , liquidity risk , monetary economics , liquidity crisis , significant difference , database transaction , business , economics , financial system , finance , mathematics , statistics , political science , law , computer science , programming language

This study investigates the factors impacting the price difference between the interbank market and the exchange market for the same bond using a large transaction dataset from July 2006 to June 2016 in China. We find that market liquidity and macrofactors mainly affect the price difference between the two markets for the same bond. And individual bond liquidity explains only a small part of the price difference. We also find that the interaction between liquidity and credit risk is an important factor affecting the price difference, and the effect is greater during financial crisis.

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