The Impact Of Credit Rating Adjustment On Credit Spread Of China's Bond Market

At the same time as the rapid development of China's bond market,credit defaults in the bond market are also increasing.At the same time,the problems in China's credit rating system are gradually exposed.In the event of these bond defaults,many of the defaulters are highly rated companies.This is mainly due to the “issuer pays” model adopted by China's rating industry and the intensification of market competition,which makes the credit rating “false high”.In addition,the rating technology of rating agencies needs to be improved,the accuracy and effectiveness of credit ratings are insufficient,and the credibility of credit ratings is generally low.Therefore,this paper studies the effect of China's bond market credit rating adjustment and its influencing factors,which helps us to understand the value of rating information published by rating agencies,and the difference in the effect of rating adjustment under different rating characteristics and different issuer characteristics.This study takes the corporate bond data adjusted in the credit rating of China's exchange bond market from 2013 to 2018 as a research sample.Using the event study method,the excess credit spread caused by the rating adjustment event to the bond was measured,and the effect of the credit rating adjustment on the bond market was studied.Using the regression analysis method,the cumulative excess credit spread measured in the event research method was used as the Interpret variables,rating characteristics,financial characteristics of bond issuers,etc.as explanatory variables,studied the factors affecting the effect of credit rating adjustment on the bond market.The main conclusions are as follows: the degree of change in the credit spread of bonds is positively correlated with the magnitude of the rating adjustment;whether the rating is raised or lowered,the credit spread of the bond will be increased;the news of the credit rating downgrade is lagging;the market reaction of credit rating downgrade is greater than the market reaction of credit rating increase;the credit rating downgrade has a more significant impact on the credit spread of bonds with higher initial credit ratings.The bond issuer characteristics will affect the market effect of credit rating adjustment.The stronger the issuer's profitability,the higher the asset-liability ratio and the cash flow debt ratio,the greater the credit spread of the bond will be affected by the rating adjustment.