Research On The Yield Volatility Of Exchange Corporate Bond

Volatility research is the basis of financial risk measurement and asset pricing model. Time series variance of financial assets usually has the characteristics of time-varying, but it is difficult to be obviously observed because of the influence of fluctuation. The research on variance gradually became a research hotspot until the end of1970s. Both academia and practical circle has carried out extensive research on the assets such as stocks, foreign exchange, bonds and gold volatility. However, research on exchange corporate bond is relatively insufficient. Based on the asset pricing theory, determinants of fluctuations of interest rate debt, equity connection bonds and ordinary corporate debt needs are different and shall be studied respectively. In addition, based on the market microstructure theory, trading mechanism is different between in the field market and over the counter (OTC) market, so independent research also attaches theoretical and practical significance.The development of China’s bond market has its own laws. Since2009, exchange corporate debt has continued its rapid growth in issurance scale and trading size and become an important part of the multi-level capital market. In this study, we regard continuous compound interest yields of exchange bond index as sample and uses GARCH model to depict characteristics of the yield fluctuation of it. Then, from the standpoint of market factors which affect the exchange enterprise debt earnings volatility, we use transactions volume, activeness, stock market overflow and Shibor corporate-bond yields to explain the fluctuation and explore the relationship among the micro market structure, capital market, money market and the yield volatility of exchange corporate.Firstly, the statistics and econometric analysis on the characteristics of exchange index shows that the time series has characteristics such as sharp peak, heavy tail and volatility cluster. Meanwhile, it has autocorrelation and positive feedback effect rather than white noise process. Volatility is sensitive to the initial value, but not sensitive to random market factors,and it has the characteristics of long memory and chaos. In addition, the fluctuation has no leverage effect and risk premium effect. Secondly, based on the micro theory of financial market structure, we use market transactions and trading activity as explanatory variables to study its effect on exchange bond yields fluctuations. Result shows that during2006-2013, corporate debt index sample volume has no influence on enterprise bond yields fluctuations. Then, through comparative analysis of two stages and different index yield fluctuation, we prove that the volume of volatility and activity is of great significance to enterprise debt income volatility. The improvement of them will help reduce the long memory of the yield fluctuation, increase the reaction intensity of random new market interest rates and eliminate the leverage effect, while has no effect on risk premium.Thirdly, based on the theory of financial market volatility spillover, we analyze the relationship between the volatility of the stock index and the volatility of corporate debt30index. Bivariate BEKK models show that there is overflow relation between stock index volatility and earnings volatility of corporate debt index30, which is unstable and relatively weak and most of the time the volatility fluctuates around zero value frequently. Parameter estimation results also show that the combined impact of the sensitivity of the covariance is greater than the impact of the new interest rates, the stock of debt overflow relation also has clustering feature and the volatility spillover has strong sustainability. In addition, the volatility spillover has relative large leverage effect.Fourthly, based on the enterprise bond pricing theory and the theory of monetary policy transmission, we use Shibor as the explained variable to estimate the impact of the monetary market benchmark interest rate made on the fluctuation of enterprise bond yields. The results of statistical analysis shows that there is no certain relationship between Shibor/Shibor volatility and the yield of corporate debt30.Vector autoregressive model and generalized conditional heteroscedastic model that contains Shibor are statistically significant. However, from the standpoint of influencing level, the influence of Shibor volatility and corporate debt30earnings volatility is negligible with no practical significance.Taken together, conclusions in each part can support and verify each other. Volume volatility and active degree have a certain influence on enterprise bond yields. However, in recent years, the exchange enterprise debt market fluctuations tend to be weakened and the secondary market trading activity has no significant improvement. Therefore, the impact they made on corporate debt income volatility is not obvious.The influence coefficient of stock index volatility spillover effect and Shibor on corporate debt earnings volatility is too small to have a material impact. Long memory property, therefore, dominates the exchange corporate earnings volatility statistics because the micro level variable coefficient of the influence of market structure is large with the variable itself changes too little to play a role and overflow between market and monetary policy level variables changes a lot. However, these variables and exchange corporate bond earnings volatility are not theoretically connected, which, on one hand, is due to the the essential charateristics of bond market, on the other hand,is because of lack of marketization and low degree of market development.Exchange enterprise bond market is not efficient market. Long memory property and the loss of risk premium constrain its role in financial asset pricing, the monetary policy transmission and resource allocation. Using descriptive statistics and time series measurement to show the characteristics of the yield fluctuation of exchange corporate bond and explaining it from the market level can enrich research achievements in the field of fluctuations in the return on assets. In practice, the study contributes reference value to the fixed income securities risk measurement, reasonable pricing and portfolio management and also has reference significance for regulators and market organisers to develop and improve exchange corporate bond market.