The Determinants of the Nondefaultable Spreads of Corporate Bonds: Evidence from China

Baochen Yang, Zijian Wu, Yunpeng Su and Xiao Li

Discrete Dynamics in Nature and Society, 2021, vol. 2021, 1-21

Abstract: 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.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/ddns/2021/5595099.pdf (application/pdf)
http://downloads.hindawi.com/journals/ddns/2021/5595099.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:5595099

DOI: 10.1155/2021/5595099

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().