The Research Of Credit Spread Of Corporate Bonds And Enterprise Bonds Based On Asymmetric Information Risk

There is a special phenomenon in Chinese bond market,i.e.,coexistence of corporate bonds and enterprise bonds,which is different from foreign markets,Although the two types of bonds are thought as the default bonds,yet due to the differences in terms of many aspects,the risk premium against different risks between them is not the same.Market microstructure theory holds that market is not perfect and not only the credit risk but also information asymmetry can affect the pricing of assets.Therefore,the study is divided into three parts,this thesis systemically analyzes and compares the differences and similarities concerning how information asymmetry risks influence bond credit spread between the two bonds.Firstly,we start to study the information asymmetry risk.After analyzing the characteristics of Chinese bond market,this thesis adopts AIM measure model to measure information asymmetry in Chinese corporate bond market and enterprise bond market.Differences of information risks in the two bonds are compared,and it is discovered that bond issuing scale influences information asymmetry degree,yet with the influence of credit rating being insignificant.Besides,bond data from May 2008 to March 2016 are chosen as sample and AIM value is regarded as proxy variable of information asymmetry,so as to study the influence of information asymmetry risks upon corporate bond and enterprise bond credit spread.Results show that in corporate bond market,the influence of information risks is positively correlated,but in enterprise bond market,the influence is not significant.Finally,in order to distinguish the different effects of information asymmetry risk on credit spreads under different economic conditions,and to avoid the research bias caused by artificial division of time points,we conduct a more in-depth study of the dynamic influence of information asymmetry risks upon bond credit spread,Markov mechanism transformed model is adopted,so as to analyze the changes and differences of influence of information risks upon bond credit spread under different mechanisms for corporate bond and enterprise bond.Results show that the influence of information asymmetry upon credit spread is time-varying.