Research On The Impact Of Stock Market Volatility On The Corporate Bond Credit Spreads Based On PSTR Model

Having been issued formally in market since 2007,China's corporate bonds have developed quickly.With amplification of the issuing bodies,decline in investment threshold,and enrichment of issuance methods,corporate bonds have gradually become an important part of China's bond market,providing listed companies with new direct financing channels as well as diversifying the investment choices for investors.As an important reflection of bond credit risks,credit spread plays an indispensable role in the process of bond pricing;Besides,as most of China's investors are concentrated on both stock market and bond market,there are a possible interrelationship between these two markets.Therefore,research on the influence of stock market factors on the credit spreads of corporate bonds will facilitate the study of the influence mechanism between these two markets,not only having great significance for financial regulatory agencies in maintenance of the security and stability of the financial market as well as in optimization of the allocation of resources in capital market,but also providing reference for investors to make reasonable investment plans and asset allocation strategies.Firstly,based on domestic and overseas researches on credit spreads as well as the interrelationship between China's stock market and its bond market,this article studied the influence of stock yields and stock volatilities on the credit spreads of corporate bonds.Secondly,this article did an empirical analysis on this topic.In this part,selecting period from December 1,2012 to September 30,2017 as the sample period and 35 corporate bonds from Shanghai Stock Exchange and Shenzhen Stock Exchange as the research samples,this article uses Panel Smooth Transition Regression Models to study the possible non-linear influence of change in stock market on credit spreads under different economic environment and monetary policies,such as the changing economic growth rates,inflation rates,and M2.Based on the empirical analysis,this article found that both stock yields and stock volatilities have non-linear influence on the credit spreads of corporate bonds.This article has the following conclusions:the linkage relationship between China's stock market and its bond market is sensitive to the macroeconomic environment;the substitution effect between China's stock market and its bond market changes as the economic environment,such as economic growth rate,inflation rate and M2,changes;The stock volatility,as an important reflection of both possible investment income and investment risks,releases different signals for investors under different economic environment.