政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67867

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67867

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/67867

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67867

Title:	中國大陸公司債券信用利差決定因素分析 the Determinants of Credit Spread in Chinese Corporate Bond Market
Authors:	顏琪
Contributors:	廖四郎顏琪
Keywords:	中國大陸公司債券信用利差面板資料 Chinese Mainland Corporate Bond Credit Spread Panel Data
Date:	2013
Issue Date:	2014-07-29 16:04:33 (UTC+8)
Abstract:	公司債券是企業融資的重要管道，是金融市場的重要組成部分。對中國大陸公司債券信用利差的理論與實證研究，一方面是中國大陸金融市場迅速發展、風險認知水準需同步提高的客觀要求，一方面也是為完善債券市場，促進其走向成熟的重要方式。本文在對相關議題文獻的梳理與綜合的基礎上，首先從Merton(1973)結構模型出發，找出公司債券信用利差的基本影響因素，再結合目前得到較廣泛認可的信用利差分解理論，分析中國大陸債券市場發展狀況，最後綜合宏觀因素、微觀因素以及流動性因素，進一步找出公司債券信用利差的其他影響因素，進而提出了研究的模型。通過對債券市場中實際資料的認知，將研究對象定為上海證券交易所和深圳證券交易所上市的62家公司所發行的72個公司債券，選取2012年1月到2013年12月為研究期間，並以月為時間序列單位，將其放在面板(Panel)資料中進行多元回歸分析，發現模型的擬合度即解釋能力較強，並得出了一些有意義的結果。對中國大陸公司債券信用利差產生顯著影響的因素包括：公司的資產負債率，債券的到期剩餘期限，公司股票價值波動度，公司的稀釋每股收益率，無風險利率，公司總資產，公司債券的換手率，滬深300指數收益率等。其中表現為與信用利差成正相關關係的有公司的資產負債率，債券到期剩餘期限，公司股票價值波動度，無風險收益率，債券換手率。其中表現為與信用利差成負相關關係的有公司稀釋每股收益率，公司總資產，滬深300指數收益率。而在對不同期限公司債券的分類裡，一些變數的具體顯著性和影響方向也有一定差別，本文做出了自己的解釋。本文的結果顯示，信用利差的影響因素包括很多公司自身的一些特點，說明中國大陸債券市場具有一定的市場有效性，近些年中國大陸金融市場的市場化和利率自由化開始展現成效。但總的來說，這些結果還是顯示了中國大陸公司債市場定價的一些不成熟，信用利差水準較高，特別是與很多成熟的國際債券市場相比，有其特殊性。 Corporate bond is an important channel of the corporate finance, and is also an important component of the financial market. Theoretical and empirical research on the Chinese mainland corporate bond credit spread is on the one hand the objective requirement of the synchronization improvement of Chinese mainland financial market`s rapid development and the risk perception level, and on the other hand the important channel of improving the bond market and promoting it to the maturity. On the basis of sorting out and summarizing the relevant literature on the subject, this paper starts with the Merton(1973) structural model and works out the basic factors of influencing corporate bond credit spread, then combines with the decomposition theory of the credit spread which is relatively widely recognized at present, it analyses the development of the Chinese mainland bond market , and at last it integrates the macroeconomic factors, the microeconomic factors and the liquidity factors to further identify other factors of influencing the corporate bond credit spread to make a model study. According to the knowledge of the actual data of the bond market, this paper sets the 72 corporate bonds of the 62 companies in Shanghai Stock Exchange and Shenzhen Stock Exchange as the object of study, and selects January 2012 to December 2013 as the study period and makes month as the time units, all of which are conducted on panel data to make a multiple regression analysis, and then the paper finds that the fitness of the model (the explanation power) is obvious, and it also works out some meaningful results. Factors that have a significant impact on corporate bond credit spread in Chinese mainland include: the company`s asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the yield of the diluted per share for the company, the risk-free rate, the company`s total assets, the corporate bond`s turnover and the CSI 300 yield and so on, among which the company`s asset-liability ratio, the remaining mature period of the bonds, the volatility of the company stock value, the risk-free rate and the corporate bond`s turnover showed a positive correlation with the credit spread, and the yield of the diluted per share for the company, the company`s total assets and the CSI 300 yield showed a negative correlation with the credit spread. While in the classification of different mature period corporate bonds, there are also some differences of specific significance and influence direction of the variables, which has been explained in this paper. The results of this paper shows that, the factors of influencing the credit spread include the company`s own characteristics, which shows that the Chinese mainland bond market has certain validity, and in recent years , the Chinese mainland financial market begins to show some effectiveness in marketization and interest rate liberalization. But in general, these results still show some immaturity of Chinese mainland corporate bond market pricing and its higher level of credit spread, especially compared with many established international bond market, it has some peculiarities.
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Description:	碩士國立政治大學金融研究所 101352038 102
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0101352038
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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