WSEAS Transactions on Systems
Print ISSN: 1109-2777, E-ISSN: 2224-2678
Volume 12, 2013
Idiosyncratic Volatility Has an Impact on Corporate Bond Spreads: Empirical Evidence from Chinese Bond Markets
Authors: , , , ,
Abstract: In the paper we use panel data of weekly corporate bond yields dated from September 19th 2008 to June 1st 2012 in Shanghai and Shenzhen Stock Exchange, and the fixed effect model with variable intercept, to do empirical research. The factors which affect corporate bond spread mainly include bond market complex index, stock market complex index, CPI, bond idiosyncratic volatility and stock idiosyncratic volatility. As the research shows, the bond market complex index has strong positive effect on corporate bond spread but CPI has opposite effect on it. Additionally, stock market complex index exhibits some positive effects on corporate bond spread. And in contrast, bond idiosyncratic volatility and stock idiosyncratic volatility show some negative effects, which illustrates that idiosyncratic volatility, complex bond index, complex stock index and CPI have common effect on the corporate bond spread.
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Keywords: Corporate bond, spreads, idiosyncratic volatility, bond complex index, stock complex index, CPI