The Research On The Chinese Corporate Bond Market Integration Base On Spillover Effects

As the important part of bond market, corporate bond market is an issue channelof direct financing for enterprises. But its development rate is lagged behind stockmarket because of market system defects. On the scene of the policy of promotingbond market development, it becomes a main content of bond market reform to get ridof corporate bond market segmentation and multi-monitor as well as promote marketintegretion process development. This paper based on inter-bank medium-term notes,corporate bonds, corporate bonds on Shanghai Stock Exchange and debenture,usingVAR(2)-BEKK（1,1）Model, from view of market spillovers, analyses the interactionsbetween corporate bonds and the inner relationships between Inter-bank bond marketand Exchange bond market, and then the posibility and problems of corporate bondmarket integretion development in China.First of all, in the qualitative level, this paper believes in China corporate bondmarket there are many problems on issuing, transaction, hosting and settlement,especially homogenization of market investor behavior and multi-monitor, highlyfragmented market structure seriously hampered the integration of China corporatebond market development. Second, in the quantitative level, this paper believes Chinacorporate bond market is still a highly fragmented market. Inter-bank bond market islarge and has forceful impact while Exchange bond market is small and weak impactcomparing with Inter-bank bond market. But the integration of Exchange bond marketis higher than that of Inter-bank bond market. What’s more, there are highly positiverisk concerted reactions between corporate bond market. At last, based on the earlierresearch, this paper proposes recommendations on China corporate bond marketintegration from the reconstruction of regulatory system, the unity of hosting andsettlement system, the construction of related market and the consummation of marketprotection system.