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

被引：3
|
作者：
Yang, Baochen [1 ]
Wu, Zijian [1 ]
Su, Yunpeng [1 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2021年 / 2021卷
基金：
中国国家自然科学基金;
关键词：
LIQUIDITY RISK; YIELD SPREADS; EMPIRICAL-ANALYSIS; MARKET LIQUIDITY; CREDIT RISK; STOCK; COMMONALITY; DEFAULT; ILLIQUIDITY; MOMENTUM;
D O I：
10.1155/2021/5595099
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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.
引用
收藏
页数：21
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