Research On The Spillover Effects Of Corporate Bonds Under China’s Bond Market Segmentation

As an important channel of direct financing for enterprises, enterprise bonds play an indispensable role on the development of enterprises and even the growth of the economy. Since the reform and opening up, the development of enterprise bonds market is rapid, whether in circulation, hosting volume, trading volume has increased by several times, but because of the economic system in our country,the interbank market and exchange market in our country are still segmented. this phenomenon is not conducive to the healthy operation of enterprise bonds market and is not harmonious to the economic development. To make these two market unification and integration is the development trend of the future. in view of this,what is the correlation of these two markets, whether there is a spillover effect is very worthy of study.Based on the theory and literature about the Spillover effects in different markets home and abroad,first this article described the present situation of domestic enterprise bonds and the phenomenon of two market segmentation. Then select the overall and individual methods to study the spillover effect between the two markets using granger causality test and VAR model. Overall method using the Shanghai enterprise debt and inter-bank bond index as the research object, individual method choose the 10 huangshan mountain debt as the research object.The research results show that the overall method find the spillover effects exist between the two markets, but the spillover effect of exchange market to interbank market is superior to the interbank market to the exchange market. Individual method results show that the two markets of spillover effect is not obvious. Based on the empirical results, this article analysis the difference and its causes of these two results.and then give policy suggestions to the unity of the enterprise bond market.