Liquidity of corporate bonds and credit spread

被引：2

作者：

Wang, Haiyang ^{[1
]}

机构：

[1] Yangtze Univ, Sch Econ & Management, Jingzhou 434023, Hubei, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2023年 / 55卷

关键词：

Corporate bonds; Liquidity; Credit spreads;

D O I：

10.1016/j.frl.2023.103941

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine corporate bond liquidity's impact on credit spreads for listed companies in China. An empirical study is conducted by selecting monthly trading data of the listed company bond market from January 2011 to June 2020. It is found that the better the liquidity of listed corporate bonds in China, the smaller the risk compensation required by investors and the smaller the credit spread. This effect is more significant in periods of illiquidity. In addition, only the liquidity of corporate bonds issued by issuers in less economically developed regions significantly affects credit spreads.

引用

页数：9

共 15 条

[1]

Bannier C.E., 2022, FINANC RES LETT, V44

[2]

Benmelech E., 2020, SECURED CREDIT SPREA

[3]

Bretscher L., 2022, 2107 SWISS FIN I, P21

[4]

Cao J., 2022, Working paper

[5] The impacts of liquidity measures and credit rating on corporate bond yield spreads: evidence from China's green bond market [J].

Chang, Kai ;

Feng, Yan Ling ;

Liu, Wang ;

Lu, Ning ;

Li, Sheng Ze .

APPLIED ECONOMICS LETTERS, 2021, 28 (17) :1446-1457

[6] Liquidity risk and corporate bond yield spread: Evidence from China [J].

Chen, Yinghui ;

Jiang, Lunan .

INTERNATIONAL REVIEW OF FINANCE, 2021, 21 (04) :1117-1151

[7]

Flanagan T., 2020, Corporate bond purchases after covid-19: Who did the fed buy and how did the markets respond?

[8]

Gilchrist S., 2020, FED TAKES CORPORATE

[9]

Haffki R, 2022, Journal of Real Estate Literature, V30, P1, DOI 10.1080/09277544.2022.2144183

[10] The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets [J].

Kadiric, Samir ;

Korus, Arthur .

INTERNATIONAL ECONOMICS AND ECONOMIC POLICY, 2019, 16 (01) :65-102

← 1 2 →