“国家队”基金与债券信用利差--基于股票市场与债券市场风险传染的视角  

“National Team”Fund and Bond Credit Spreads-Risk Contagion between the Stock Market and the Corporate Bond Market

作　　者：甄红线[1,2] 李佳 王玺 Zhen Hongxian;Li Jia;Wang Xi(Schol of Accounting,Dongbei University of Finance and Economics,China Internal Control Research Center,Dongbei University of Finance and Economics)

机构地区：[1]东北财经大学会计学院 [2]中国内部控制研究中心

出　　处：《国际金融研究》2024年第9期85-96,共12页Studies of International Finance

基　　金：国家自然科学基金面上项目“公司债券违约风险防范:基于公司债特殊条款和政府参与评级的视角”(72172029);国家自然科学基金面上项目“系统性风险对技术创新的影响:基于风险分层和交叉传染的视角”(71971046);国家社会科学基金后期资助项目“精准扶贫、绿色治理与中国经济高质量发展研究”(21FJYB032);教育部人文社会科学研究青年项目“企业数字化转型与股票收益:理论模型、影响效应与作用机理”(23YJC790140)资助。

摘　　要：金融安全是经济繁荣与社会稳定的重要基石。本文基于股票市场与债券市场风险传染的视角,探究“国家队”基金持股对于防范跨市场风险传染的有效性。研究发现,“国家队”基金持股能够显著降低债券信用利差。影响机制分析表明,减少股债风险传染、提升投资者信心以及降低预期违约风险是主要作用机制。进一步分析发现,持续且稳定的“国家队”基金持股作用效果更强;“国家队”基金增、减持产生非对称影响。当债券发行无担保条款以及债券信用评级较低时,“国家队”基金持股的积极作用更为显著。本文的研究结论对于如何保障资本市场有序健康发展以及健全金融稳定长效机制具有一定的启示意义。Financial security is a crucial foundation of economic prosperity and social stability.The"national team"fund serves as a pivotal role in market stabilization through its purchase of financial assets and adjustment of supply and demand.Based on the sample data of corporate bonds and medium-term notes issued by A-share listed companies from 2014 to 2021,this paper examines the impact of the"national team"fund's shareholdings on preventing cross-market risk contagion from the perspective of risk contagion between stock market and corporate bond market.It is found that the"national team"fund's shareholdings significantly decrease the bond credit spreads.The"national team"fund's shareholdings can affect credit spreads by reducing the equity-debt risk contagion,improving investor confidence and reducing default risk.Further analysis reveals that the effect of continuous and stable"national team"fund's shareholdings is more pronounced.Moreover,the increase or decrease of the"national team"fund's shareholdings has an asymmetric impact on credit spreads.This effect is more pronounced when bonds without guarantee clauses and those with lower credit ratings.This paper not only broadens the research scope of bond credit spreads,but also provides new perspectives for comprehensively understanding the economic consequences of"national team"fund.These findings provide decision-making references for the management practices,operation modes,and future development of financial stability guarantee fund.Furthermore,it has important enlightenment significance to guarantee the healthy and orderly development of capital market and improve the long-term mechanism of financial stability.

关 键 词：风险传染 金融稳定保障基金 债券信用利差 

分 类 号：F275[经济管理—企业管理]