The Research Of Corporate Bond’s Liquidity And Credit Spread Influencing Mechanism In China

As the important tool of financial market, corporate bond has an undeniable effect inpromoting the economic, meanwhile, it can help to improve the corporate’s capital structure.The development of our capital market is immature, lack of an effective pricing andrick-control mechanism, as a result, the corporate bond market also lack of a normative andthorough rick-control mechanism and market standard. As a barometer of corporate bondmarket, Credit spread can measure the risk level，and provide an asset allocation strategy tothe investors, it’s a popular topic to research the credit spread in the theoretical and practicalcycle.Due to the small market capacity、restriction of market participant, the problem that lackof liquidity in our corporate bond market is outstanding. The sufficient liquidity is empiricalto the classical financial theories, at the same time, it’s the presupposition for the financialmarket to finish the configuration. Now, there are some researches indicate that the liquiditycan affect the credit spread. The research point of credit spread locate at the measurement andimpact factor.This article connect the physical truth of our corporate bond market, discussed therelation between liquidity and credit spread, through theoretical analysis and positivism model,take the liquidity as the main explaining variable, the last step is test the credit spread’sinfluence factor.This research use the most popular regression analysis method to achieve the test, selectthe liquidity index to establish the models, which use for analyzing the influence of theliquidity on the credit spread, then take the macro factors model as the control group, the mainresult is that the trade volume is the main approach for the liquidity to affect credit spread, atlast, our research illuminate the mechanism of how the macro factors and liquidity influencethe credit spread.