基于流动性风险的公司债券价差决定因素实证分析  

Empirical Analysis of Liquidity Risk Premium of Corporate Bond Spread

作　　者：王苏生[1] 黄杰敏[1] 黄杰勇[1] 黄育蓉[1] 

机构地区：[1]哈尔滨工业大学深圳研究生院,广东深圳518055

出　　处：《管理工程学报》2015年第3期239-248,共10页Journal of Industrial Engineering and Engineering Management

基　　金：教育部人文社会科学研究规划基金资助项目(11YJA790152);深圳市哲学社会科学项目(125A002)

摘　　要：本文利用2012年1月至2012年12月深交所与上交所公司债券数据分析了流动性风险对公司债券价差的重要影响。主要研究了价格收益平方、债券发行量、债券交易量、债券交易额及债券年龄几个流动性代理变量。价格收益平方越大表示公司债券价格越被低估,债券交易量越大,流动性风险溢价越小,公司债券价差越小。债券发行量越大则公司债券流动性越大。我们发现以12个月为临界点划分年轻与年老债券在中国交易所债券市场较合适,债券年龄越大则流动性风险越大,公司债券价差越大。这些研究结果与假设相同,但是公司债券交易额与公司债券价差正相关,这与假设不符,原因可能是样本数据缺失较多,或者样本数据处于经济低迷时期。总之,债券发行量、价格收益波动率、债券交易量及交易额也是流动性风险的代表变量,但是其影响远小于债券年龄。The dependence of liquidity risk premium oncorporate bond spread was studied according to the weekly trading panel data from January 2012 to December 2012 of corporate bond in Shenzhen Exchange and Shanghai Exchange markets. Based on previous works, the liquidity proxy variables were used as independent variables in this paper. The influences of these independent variables on corporate bond spread of several liquidity proxies of corporate bond, such as squared price return, issued amount, bond trading volume, bond transactions and bond age, were analyzed. We adopted a new method and investigate its liquidity effect on corporate bond yield spread in China. On the other hand, compared with interbank bond market, Shenzhen Exchange and Shanghai Exchange bond markets have lower liquidity.. By analyzing corporate bond liquidity we provided advices for investors, Shenzhen Exchange and Shanghai Exchange bond markets, Based on literature review, we used squared price return as yield volatility factor. Our findings show that squared price return is negatively correlated with corporate bond yield spread. When price return volatility becomeslarger, bond volume turned out to be larger, and bond price was underpriced. Thus, the corporate bond yield spread would be lower. Corporate bond issued amount had a negative correlation with corporate bond yield spread, and the issued amount usually was used for estimating bond liquidity risk. Larger issued amount would lead to lower liquidity risk andsmaller liquidity risk premium, and caused smaller corporate bond yield spread. Trading volume is strongly correlated with bond transactions. We removed the variable of trading volume in the regression analysis.Bond transaction variable was significant, but it had a positive relationship with corporate bond yield spread. This wasn＇t consistent with the null hypothesis. This situation merely appeared during the financial crisis. Referred for bond age, we made some improvements according to the literature. We used thethresbolds of 4 months,

关 键 词：流动性风险 价格收益波动 发行量 交易量 债券年龄 

分 类 号：F830.9[经济管理—金融学]