The Influence Of Turnover Rate And Credit Rating On Corporate Bond Spreads

As the development of capital market of our country, the scale of capital becomes bigger, management system becomes more and market-oriented. Corporate bonds as an important part of capital market, provide a market-oriented financing tools to Corporation from beginning. Although the start of corporate bonds on a smaller scale, when the securities regulatory commission issued new rules on corporate bonds on January of 2015 year, the new rules expand the object of issuing corporate bonds and reduce the requirement of issuing bonds, corporate bonds issuing is in a massive scale. Corporate bond spreads as the key part of corporate debt risk and pricing, attracting more and more attention.This paper analyzes the development of corporate bonds in China at first, then studies the previous scholars in this research, combining with the current corporate bonds’market, and puts forward the research hypothesis, this paper mainly analyzes the turnover rate and the credit rating of the influence on corporate bond spreads.Due to China’s government bonds’scale is small, there is no complete term structure of government bonds interest rates, it is difficult to find the same maturity matching bonds with corporate bonds. For precise calculation of corporate bond spreads, so in this paper, we use polynomial splines to simulate the structure of government bonds interest rates at first, then use the yield to maturity on the after-tax corporate bonds minus the same maturity of government bonds to get the corporate bond spreads to make empirical test.Through selecting the sample panel data of corporate bonds, this article studied the turnover rate affect on corporate bond spreads at first. The study found that the higher of the turnover rate, the bigger of the corporate bond spreads, turnover rate and corporate bond spreads are positive related. Then this paper studied the effect of credit rating on the corporate bond spreads. Results show that although the defect of our country’s credit rating mechanism, corporate bonds generally with high credit rating, but basically present the phenomenon that the lower of credit rating, the greater of the corporate bond spreads, credit rating can reflect part of the corporate bonds’risk. Finally from three ratings of sample data in this paper, the lower the credit rating, the higher corporate bond yields, the greater the corporate bond spreads; At the same time because of corporate bonds’scale is small, trading is not active, the corporate bonds rarely default, corporate bonds have local government’s recessive guarantee; So that investors tend to buy lower credit rating, higher yield of corporate bonds, resulting in bigger turnover rates with high yield of corporate bonds, and resulting in positive correlation between turnover rates and corporate bond spreads.