Research On The Influence Of Investor Sentiment On China's Bond Credit Spread

In recent years,China's financial market has continued to improve,and the size of the bond market has also expanded,and the types of bonds that market participants can invest have also increased significantly.At the same time,as the market continues to grow,bond defaults have also recently exploded,and the history of bonds as a "zero default" financial product has passed away.The core issue of bond pricing is how to determine credit spreads.Reasonable bond spreads reflect the risk compensation expected by investors.Unreasonable spreads will distort their prices,which will lead to speculative trading in the market and failure of corporate financing,making the market more uncertain.In order to explain the undulating fluctuations in the market,some scholars in the field of behavioral finance put forward the hypothesis of "irrational investor" from the perspective of investor psychology,which led to the concept of investor sentiment.This paper combs and summarizes the concepts and measures of investor sentiment as well as the relevant literatures on the factors affecting interest spreads in the bond market by scholars at home and abroad.On the basis of their research,the number of new investors,market turnover,market turnover,margin financing scale,consumer confidence index and non-financial institution bond holdings accounted for six economic indicators,using principal component analysis to build a comprehensive index of investor sentiment based on China's capital market.Then use the constructed sentiment index to verify whether it has a relation hip with the bond credit spread,and analyze whether investor sentiment can have a "cross-border" impact on the bond market and whether it has a significant impact on bonds with different risk characteristics.The empirical results show that there is a significant negative correlation between investor sentiment and the spread of corporate bonds and corporate bonds.When investor sentiment is high,bond credit spreads fall.Conversely,when stock market investors are in a downturn,Bond yields rose and credit spreads widened,meaning investor sentiment had a significant negative impact on bond credit spreads.At the same time,the empirical results show that investor sentiment does not only affect bonds issued by companies with large assets or high credit ratings,but will have a general impact on the bond market,generating investor sentiment to the bond market.Among the ways of the "irrational infection" motivation is more superior than "rational arbitrage".