Research On The Impact Of Stock Market Investor Sentiment On Corporate Bond Credit Spread

The report of the 20 th National Congress of the Communist Party of China proposed to further improve the function of the capital market,increase the proportion of direct financing,improve the socialist market economy to better serve the high-level,and promote the high-quality development of the exchange bond market.At present,with the emergence of cross-market financial instruments and the increasing perfection of information transmission mechanism,the linkage between the stock market and the bond market has been significantly strengthened.As the main participants in the stock market,the sentiment of investors will not only affect the stock market itself,but also change the supply and demand relationship in the bond market,affect the bond credit spread,and affect the high-quality development of the bond market.Based on the trade data of 810 bonds in our country from 2017 to 2021,this paper analyzed the mechanism of investor sentiment on credit spreads based on investment portfolio theory,investor behavior theory,information spillover theory and bond pricing model.Then,the principal component analysis method was used to construct the stock market investor sentiment composite index,which empirically tested the cross-market influence of the stock market investor sentiment on the credit spread of corporate bonds,and the sensitivity of investor sentiment to bonds with different risk characteristics.The heterogeneity analysis was carried out from the perspective of the attributes of bond issuers and bond ratings.The results show that: first,investor sentiment has a significantly negative effect on bond credit spreads in our country;Second,investor sentiment is sensitive to bond issuance scale and remaining maturity;Third,through heterogeneity analysis,we find that investor sentiment has less impact on spreads of listed companies and highly rated bonds.Fourth,when the sentiment of stock market investors is high,the "sentiment contagion mechanism" plays a dominant role in the impact of sentiment on credit spreads.According to the research conclusions,this paper puts forward some suggestions from the three levels of regulators,bond issuers and investors: regulators should optimize the structure of market participants,guide investors to make rational investment,incorporate investor sentiment indicators into the bond risk early warning mechanism,improve the regulatory system and strengthen the information disclosure system;Bond issuers should reasonably choose the issuance time of bonds and construct investor sentiment feedback mechanism.Investors should establish correct investment concepts to make rational investment,avoid blindly following the rise and killing the fall caused by herd effect,and safeguard their own interests.