Liquidity of corporate bonds and credit spread

Haiyang Wang

Finance Research Letters, 2023, vol. 55, issue PB

Abstract: We examine corporate bond liquidity's impact on credit spreads for listed companies in China. An empirical study is conducted by selecting monthly trading data of the listed company bond market from January 2011 to June 2020. It is found that the better the liquidity of listed corporate bonds in China, the smaller the risk compensation required by investors and the smaller the credit spread. This effect is more significant in periods of illiquidity. In addition, only the liquidity of corporate bonds issued by issuers in less economically developed regions significantly affects credit spreads.

Keywords: Corporate bonds; Liquidity; Credit spreads (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003136

DOI: 10.1016/j.frl.2023.103941

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