股票流动性与公司债信用利差关系研究

doi:10.3969/j.issn.0253-2778.2018.08.010

中国科学技术大学学报 ›› 2018, Vol. 48 ›› Issue (8): 667-682.DOI: 10.3969/j.issn.0253-2778.2018.08.010

股票流动性与公司债信用利差关系研究

赵静，方兆本

1.中国科学技术大学管理学院统计与金融系，安徽合肥 230026；2.合肥工业大学经济学院，安徽合肥 230601

收稿日期:2017-10-18 修回日期:2018-02-05 接受日期:2018-02-05 出版日期:2018-08-31 发布日期:2018-02-05
通讯作者: 赵静
作者简介:赵静(通讯作者)，女，1984年生，博士生/讲师.研究方向：信用风险. E-mail：sskonggu@163.com
基金资助:
国家自然科学基金（71273082），国家自然科学基金青年基金（71201152）资助.

On the relationship between stock liquidity and corporate bond credit spreads

ZHAO Jing, FANG Zhaoben

1. Dept. of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China; 2. School of Economics, Hefei University of Technology, Hefei 230601, China

Received:2017-10-18 Revised:2018-02-05 Accepted:2018-02-05 Online:2018-08-31 Published:2018-02-05

摘要/Abstract

摘要： 根据我国股票市场和公司债市场流动性溢出效应的特点，构建了包含债券和股票市场内部和外部流动性冲击的公司债结构化定价模型，以分析债券和股票市场内部和外部流动性冲击对公司债信用利差的影响.基于模型对2008-01-01～2016-12-31期间沪、深两市的公司债交易数据和相应公司股票交易数据进行了实证分析，结果发现在债券和股票市场内部和外部流动性冲击下，债券和股票的流动性对于公司债信用利差的影响均符合模型的预期，并且对于较低信用级别和短期期限的债券信用利差影响更为显著，从而证实了所提出的理论模型的合理性.

关键词: 信用利差, 股票流动性, 债券定价, 流动性冲击, 内生违约

Abstract: Based on the spillover effects between stock and bond markets in China, an endogenous default credit model which includes both outside and inside liquidity shocks to stock and bond markets was presented. The effects of outside and inside liquidity shocks on corporate bonds spreads were analyzed. An empirical analysis of corporate bonds traded in Shanghai and Shenzhen stock exchanges during 2008-01-01～2016-12-31 was presented, and the effects of liquidity shocks on corporate bonds spreads predicted by the model were confirmed. For debts with shorter maturities and higher risks, the effects are even more significant.

Key words: credit spread, stock liquidity, corporate bond pricing, liquidity shocks, endogenous default

中图分类号:

F832.5

赵静，方兆本. 股票流动性与公司债信用利差关系研究[J]. 中国科学技术大学学报, 2018, 48(8): 667-682.

ZHAO Jing, FANG Zhaoben. On the relationship between stock liquidity and corporate bond credit spreads[J]. Journal of University of Science and Technology of China, 2018, 48(8): 667-682.

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股票流动性与公司债信用利差关系研究

On the relationship between stock liquidity and corporate bond credit spreads

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