A Study On The Factors Affecting The Credit Spreads Of Chinese Corporate Bonds

Corporate bonds has become an important way of direct financing because of its low financing cost,and its risk neutrality and profit stability are favored by institutional investors.The credit spread is the basis of Corporate bonds pricing,can effectively measure the rela tive value of corp orate bonds and risk income level.Based on the issuance of corporate bonds in China,due to the late issuance tim e,the early release of a small number of factors such as the impact of domestic debt credit spreads on the relatively small,credit risk measurement and control technology is lagging behind.Therefore,on the basis of the research results of mature foreign bond market,it is very im portant to study the influence of corp orate credit and the control of credit risk by combining the characteristics of corporate bond market in China.Based on the theory of credit spreads,this paper studies the credit spreads of corporate bonds from the aspects of defa ult risk,liquidity risk,m acroeconomic indicators and market risk,based on the reality of the developm ent of Chinese corporate bond market.Through layers of screening,and ultim ately from the Shanghai and Shenzhen Stock Exchange selected 91 sample corporate bonds,intercepted from January 2013 to Decem ber 2015 36 months of transaction data.In order to study the impact of default risk,liquidity risk,macroeconomic indicators and market risk on the credit spread of corpor ate bonds,this paper uses the panel data analysis method,the two-step model selection,and finally selected the fixed effect model.To analyze.At the sam e time,the s ample data are divided into three dimensions: industry,term and credit level to study the influence of each factor on credit spread.After the analys is of the sample and the panel data fixed ef fect model,the fixed effect transformation method was used to carry out the fractional regression analysis of each factor,and the influence of each factor on the credit spread was analyzed in detail from each sub-position.The empirical results show that:(1)In the fixed effect model analysis,the assumptions 1H ?2H ?4H ?5H ?6H ?7H ?8H are supported by the empirical data,in assumption2 H which the leverage ratio is negatively correlated with the credit spread,which is related to the Merton model Expected not the same.Assumption 3H that the ratio of liquidity index and zero-trading days is positively correlated with cred it spreads,this is contrary to the expected assumptions,while the non-liquidity indicator Amihud has no significant correlation with credit spreads.(2)In the regression results of the sa mple group,it was found that the influence factors of credit spreads in different industries,different periods and different credit grades were different.(3)In the regression analysis of the quantile,it was found that some factors were significantly correlated with the credit spread in the over all regression,but these factors were not significantly correlated with the spread at all the loci in the regression of the quantile.At the same time,the relationship between the other variables and the credit spreads is consistent with the overall regression model,which shows that the impact of these variables on the corporate credit spread is stable.