This study examines the price effects of investment-grade–corporate bond transactions on the Australian Securities Exchange (ASX). Results indicate that both purchases and sales of exchange traded corporate bonds incur significant transaction costs upon execution. Post execution, purchases of all sizes either experience price continuations, or no significant price reversals, suggesting the presence of information. Sales of all sizes experience complete price reversals, implying that selling corporate bonds conveys no information to the market. These results are consistent with the majority of equity market studies that document a similar asymmetry between purchases and sales. Analysis of the determinants of price effects associated with bond market trades reveals that trade-size, market conditions, underlying stock price volatility, underlying stock turnover, bid–ask spreads (BAS), and market depth are associated with the magnitude of price movements surrounding these trades. Contemporaneous equity returns appear to have no effect on the price impact of corporate bonds.

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公司债券交易的价格影响：来自澳大利亚证券交易所的证据

本研究考察了投资级公司债券交易对澳大利亚证券交易所 (ASX) 的价格影响。结果表明，交易所交易公司债券的买卖在执行时都会产生大量交易成本。执行后，各种规模的购买要么经历价格延续，要么没有明显的价格逆转，表明存在信息。各种规模的销售都经历了完全的价格逆转，这意味着出售公司债券不会向市场传达任何信息。这些结果与大多数股票市场研究一致，这些研究记录了买卖之间类似的不对称性。对与债券市场交易相关的价格影响的决定因素的分析表明，交易规模、市场条件、基础股票价格波动、标的股票成交量、买卖价差 (BAS) 和市场深度与围绕这些交易的价格变动幅度相关。同期股票回报似乎对公司债券的价格影响没有影响。