An Empirical Analysis Of Factors To Impact The Liquidity Of Corporate Bonds In China

Along with the development of our country’s economy, the demand of the issuer ismore and more big, however, the development of our country’s financing system exists theproportion of direct financing is far lower than the indirect financing, which is veryunbalanced. In the direct financing in our country, the scale of the corporate bonds marketis far from it’s accounted for mature bond market in developed countries.Overall, the liquidity of the corporate bonds market is very poor and the development of thecorporate bonds market is late. The market is the weak link of the financial system in China.This article selects21corporate bonds of Shanghai stock exchange from January1,2009to December31,2013, the sample data of the corporate bo nds market liquidity: anempirical study of influencing factors.First of all we choose gamma index and Amihudindex as measures of liquidity index, and then use the actual issuance, issued period, theremaining period, credit rating, price fluctuations, co upon rate, transaction scale this sevencharacteristics variables as explanatory variables. By constructing panel data model,Hausman test, different variance test and correction, we can complete this empirical study.After the empirical research of the factors to influence the liquidity of corporatebonds market in this paper, we found that price fluctuations and the remaining periodnegative correlation with the liquidity of corporate bonds market, namely, the higher pricefluctuations and remaining period are, the lower the liquidity of corporate bonds market,and vice versa. And the actual issuance, issued period, coupon rate, transaction scale arepositive correlation with the liquidity of corporate bonds market, namely, the higher theactual issuance, issued period, coupon rate, transaction scale are, the greater the liquidityof corporate bonds market is, and vice versa.Credit rating for corporate bonds in this empirical study is no significant correlationwith liquidity.It shows that the system of the corporate bonds market is insufficient,remains to be developed.