Chinese Corporate Bond

The corporate bond is a basic mode for an enterprise financing in the market just as equal as stock do. Compared with the non-risk national bond, the corporate bond investors must undertake the extra default-risk which the enterprise couldn't repays the principal and interest of the bond. Therefore, according to the risk-income symmetrical principle, the corporate bond's returns ratio should be higher than the non-risk interest rate at the same time. The spread between them is the credit spread of the corporate bond. Generally speaking, if an enterprise's credit spread is oversized, then the bond price had possibly been underestimated by the market, and it has the investment value; Otherwise, if the credit spread excessively slightly, then this bond price is possibly high. Therefore, it has the standards to measure whether the bond's price is reasonable.So far, the research about the credit risk of our corporate bond basically limited to the qualitative discussion, this article attempts to inspect our country's enterprise bond credit risk from the quantitative angle, takes the market development as basic point, based at this, analyses the characteristic of the credit spread of our corporate bond theoretically and empirically.After discuss in this article, we found that in our corporate bond market, such credit spread is artificially constrained. This article takes the credit spread of the Shanghai stock market corporate bond and the national bond returns ratio index as the object of study, we take qualitative and the empirical analysis to the macroscopic factor which could obviously affect the credit spread. The result of the macroscopic factor analysis shows that, the long-term interest rate and the stock market volatility are the remarkable influence variable to the time series of the credit spread;The result of the microscopic factor analysis showed that, the insufficient liquidity still was the most important question in our corporate bond market, it directly causes the credit spread of our corporate bond to rely on the bond due date excessively. Different from the present majority qualitative analysis conclusion, we discovered that in our corporate bond credit spread already contained certain degree default risk compensation, reflecting the pricing of our country corporate bond market has rationalized further. The financial ratio method determined the variable is more suitable to explained the credit spread of our country's corporate bond, this is possibly because of the defects exist in the price founding function of our stock market, and it is also possibly because our country has serious division between the bond and the stock market. The empirical...