The Determinants of the Nondefaultable Spreads of Corporate Bonds: Evidence from China,Discrete Dynamics in Nature and Society

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The Determinants of the Nondefaultable Spreads of Corporate Bonds: Evidence from China
Discrete Dynamics in Nature and Society ( IF 1.4 ) Pub Date : 2021-07-01 , DOI: 10.1155/2021/5595099
Baochen Yang ₁ , Zijian Wu ₁ , Yunpeng Su ₁

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This study investigates the factors impacting the price difference between the interbank market and the exchange market for the same bond using a large transaction dataset from July 2006 to June 2016 in China. We find that market liquidity and macrofactors mainly affect the price difference between the two markets for the same bond. And individual bond liquidity explains only a small part of the price difference. We also find that the interaction between liquidity and credit risk is an important factor affecting the price difference, and the effect is greater during financial crisis.

更新日期：2021-07-01

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