The Study On The Determinants Of The Credit Spread Of Chinese High-yield Bonds

2014 was a milestone to Chinese bond market. The credit event of coupon payment crisis aroused the investors the awareness of credit risk that led to the change of market pattern. The debt holders began to look again at the nature of credit by getting rid of the image of implicit guarantee and re-assess the relationship between risk and return. It is vital to find out which factors determined the change of credit spread. In this paper, we set small and medium-sized enterprise privately raised corporate bonds as the sample of Chinese high-yield bonds to do regression analysis to verify whether the factors deriving from former research results are significant to reflect spread shift.