Research On The Price Difference Of Corporate Bonds Between The Inter-bank Market And The Exchange Market

After more than thirty years of development,Chinese bond market has helped raise a lot of money for ecomonic construction and so effectively propelled the national economic development.But due to historical reasons,the bond market is divided into the inter-bank bond market,the exchange bond market and the commercial bank bar bond markets.To promote the integration of the bond market,government bonds and corporate bonds have been able to issue and trade across the inter-bank bond market and the exchange bond market,however they don't form the same price trend but with different prices.Although there are some papers that study the government bonds,the methods and conclusions can't be applied to corporate bonds.This paper takes the credit risk and liquidity spillover effect of stock market into account and pays much attention to the time variation characteristic of the spread,to give a full and reasonable explanation for the spread of cross-market corporate bonds.This paper takes the cross-market corporate bonds as the research sample,builds the Markov regime-switching model,calculates variables from the perspective of market portfolio and studies the nonlinear relationship between interest rate risk,credit risk,liquidity risk and the market excess return.Empirical research indicates that the inter-bank bond market and the exchange bond market both behave differently in two regimes in the pricing of corporate bonds,that is to say the market excess return and the four risk factors have a significantly nonlinear relationship.Considering monthly growth rate of industrial added value,we find that the spread always appear in the increasing regimes and the extreme declining regimes,further analysis shows the spread is attributed to differences in liquidity and the compensation of risk variables,and all these can blame on different investors.In order to eliminate the spread and unify the bond market,investors must be allowed to trade freely.Meanwhile,for stable and healthy development of the bond market,we must expand the types of cross-market bonds and establish a unified custody system and supervision system.