Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market
This paper investigates the impact of multidimension liquidity, credit risk, and the interaction between liquidity and credit risk on corporate bond spreads based on a large transaction data set from July, 2006 to June, 2016, including the monthly data of 3716 bonds in China. Our main findings revea...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/2996704 |
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| _version_ | 1832550782284595200 |
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| author | Zijian Wu Baochen Yang Yunpeng Su |
| author_facet | Zijian Wu Baochen Yang Yunpeng Su |
| author_sort | Zijian Wu |
| collection | DOAJ |
| description | This paper investigates the impact of multidimension liquidity, credit risk, and the interaction between liquidity and credit risk on corporate bond spreads based on a large transaction data set from July, 2006 to June, 2016, including the monthly data of 3716 bonds in China. Our main findings reveal that liquidity premiums are the main parts of corporate bond spreads. The interaction between liquidity and credit risk plays a significant role in determining corporate bond spreads. In addition, the differences between the interbank market and the exchange market have a significant impact on corporate bond spreads in normal period, and the interaction between liquidity and credit risk has an enhanced impact on corporate bond spreads during financial crisis. We also find that the interaction between liquidity and credit risk will increase with the increase of liquidity risk and credit risk and it is a time-varying dynamic process. |
| format | Article |
| id | doaj-art-1b398a6853b8401c8719eee6777d45b9 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-1b398a6853b8401c8719eee6777d45b92025-02-03T06:05:49ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/2996704Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond MarketZijian Wu0Baochen Yang1Yunpeng Su2College of Management and EconomicsCollege of Management and EconomicsCollege of Management and EconomicsThis paper investigates the impact of multidimension liquidity, credit risk, and the interaction between liquidity and credit risk on corporate bond spreads based on a large transaction data set from July, 2006 to June, 2016, including the monthly data of 3716 bonds in China. Our main findings reveal that liquidity premiums are the main parts of corporate bond spreads. The interaction between liquidity and credit risk plays a significant role in determining corporate bond spreads. In addition, the differences between the interbank market and the exchange market have a significant impact on corporate bond spreads in normal period, and the interaction between liquidity and credit risk has an enhanced impact on corporate bond spreads during financial crisis. We also find that the interaction between liquidity and credit risk will increase with the increase of liquidity risk and credit risk and it is a time-varying dynamic process.http://dx.doi.org/10.1155/2022/2996704 |
| spellingShingle | Zijian Wu Baochen Yang Yunpeng Su Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market Discrete Dynamics in Nature and Society |
| title | Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market |
| title_full | Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market |
| title_fullStr | Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market |
| title_full_unstemmed | Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market |
| title_short | Liquidity, Credit Risk, and Their Interaction on the Spreads in China’s Corporate Bond Market |
| title_sort | liquidity credit risk and their interaction on the spreads in china s corporate bond market |
| url | http://dx.doi.org/10.1155/2022/2996704 |
| work_keys_str_mv | AT zijianwu liquiditycreditriskandtheirinteractiononthespreadsinchinascorporatebondmarket AT baochenyang liquiditycreditriskandtheirinteractiononthespreadsinchinascorporatebondmarket AT yunpengsu liquiditycreditriskandtheirinteractiononthespreadsinchinascorporatebondmarket |