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| Title: | 信用市場情緒和公司債利差
Credit Market Sentiment and Corporate Bond Yield Spreads |
| Authors: | 張育成
Chang, Yu-Cheng |
| Contributors: | 岳夢蘭
Yueh, Meng-Lan
張育成
Chang, Yu-Cheng |
| Keywords: | 公司債
公司債利差
信用市場情緒
股票市場情緒
Corporate bond
Bond yield spreads
Credit market sentiment
Stock market sentiment |
| Date: | 2022 |
| Issue Date: | 2022-08-01 17:18:49 (UTC+8) |
| Abstract: | 近年來，有許多學者致力於研究投資人情緒對債券市場的影響，一些針對債券市場的研究也顯示出投資人情緒對債券價格偏誤的影響確實存在。然而，過去的研究主要著重在股票市場情緒對債券價格的影響，關於信用市場情緒的部分則較少被提及，因此本文欲探討信用市場情緒對債券市場的影響。本文以美國債券市場作為研究對象，高收益債發行比例(High Yield Share)作為信用市場情緒指標，研究信用市場情緒對於公司債利差的影響。本文的研究結果發現，信用市場情緒對債券利差的影響效果與股票市場情緒的影響效果相似，在高情緒時期債券價格被高估(低利差)，在低情緒時期債券價格被低估(高利差)，長期經過債券市場修正後，價格回復至合理價格，因此高情緒時期之後會伴隨著高利差；低情緒時期之後會伴隨著低利差，並且在高情緒時期，利差受信用市場情緒影響的程度較大，而低情緒時期利差受信用市場情緒的影響較小。此外，我們發現低評級、到期期間短、極端流動性、高票面利率以及發行規模小的債券相對較容易受到信用市場情緒影響。在信用市場情緒與債券市場情緒的比較上，在全部樣本中，信用市場情緒對債券利差的影響優於股票市場情緒，在不同債券特性分組之下，兩者對債券利差的影響程度大小互有勝負。
In recent years, many scholars have devoted themselves to the impact of investor sentiment on the bond market. Some studies on the bond prices also show that investor sentiment contributes to bond mispricing. However, past research mainly focused on the impact of the stock market sentiment on bond prices, and little is known about the impact of the credit market sentiment. Therefore, in this paper, we would like to explore the impact of credit market sentiment on the corporate bond market. In this study, we use high yield share as credit market sentiment and explore the issue of how credit market sentiment affects corporate bond yield spreads in the U.S. bond market. Our results reveal that the impact of credit market sentiment on bond yield spreads is similar to the effect of stock market sentiment. Bonds appear overpriced (with low spreads) during the optimistic periods and underpriced (with high spreads) during the pessimistic periods. After the correction for the mispricing, bond prices return to the fair price. When beginning-of-period sentiment is high, subsequent yield spreads are high; low sentiment periods are followed by low spreads, and the impact of credit market sentiment is more pronounced when sentiment is high. In addition, we find that bonds with low ratings, short maturities, extreme liquidity, high coupons, and small issued size are more sensitive to credit market sentiment. In the comparison of the credit market sentiment and stock market sentiment, credit market sentiment has stronger impact on yield spreads than stock market sentiment in full sample. But under different bond characteristic groups, the impact of credit market sentiment on yield spread is weaker than stock market sentiment in some groups. |
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| Description: | 碩士
國立政治大學
財務管理學系
109357019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109357019 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200935 |
| Appears in Collections: | [財務管理學系] 學位論文
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