The Study On Credit Spread Of Corporate Bond In China

The credit spread of corporate bond in our country is the difference between the corporatebond and its national bond’s rate of yield to maturity. The credit spread is used to reflect the riskof corporate bond market condition. The credit spread is also used to reflect the investors’ viewsof corporate bond risk when the attitude of risk is not changing.Using credit spread stands for credit risk in this paper, in20101st quarter to20123rdquarter, the market of corporate bond showed an escalating trend on the whole. In this period, itshowed a declining trend first, then escalating trend and a decline. Every3rd quarter in2010to2012is the turning point. The standard deviation of credit spread showed a scattering situation,which implies the market of corporate bond is developed.This paper basing on the former’s research, using the structuring model and adding somekey effect factors, rises a sectional regression model and a panel model. The positive analysisshows that the structuring model is useful for our corporate bond market. The explanation ratioof panel models is47.66%. The fluctuation of corporate bond market mostly depends on themacroeconomics index. The corporate finance index is useless for the investors. Because most ofcorporate bond investors are institutional investors, the expected return on the market of stocks isnot so significant for the effect of corporate bond.