我国流动性风险对债券定价的影响

The Effect of Liquidity Risks on the Bond Pricing

本文以公司债和企业债即期收益率和到期收益率为主要研究对象,分析了债券市场和股票跨市场流动性风险对债券定价影响。通过引进三种债券流动性测量方法(Amihud非流动性、Bao、Pan和Wang的有效价差以及Corwin和Schultz的最高最低价差),以多种流动性测量方法分析和比较了流动性风险对公司债和企业债定价的影响。研究表明债券和股票市场流动性风险显著地影响公司债和企业债的即期和到期收益率。债券市场流动性风险对公司债的影响持续时间比对企业债的短,间接地证明了公司债市场信息有效性优于企业债。另外,股票市场收益率和波动性对公司债的影响大于企业债,而企业债对宏观经济环境变化的敏感度高于公司债。

This paper studies the effects of bond and stock market liquidity risks on the pricing of corporate and enterprise bonds, especially the effects on the bond current yield and yield to maturity. By using three different liquidity measurements（Amihud Illiquidity, Effective spread of Bao, Pan and Wang, High and Low spread of Corwin and Schultz）, it compares and analyzes the effects of liquidity risk on corporate and enterprise bond pricing under different liquidity measures. As a result, bond and stock market liquidity risks have significant effects on corporate and enterprise bond, both on current yield and yield to maturity. The bond market liquidity risk has a stronger effect on corporate bonds than enterprise bonds, which implies that corporate bonds market has higher market information efficiency than enterprise bonds market. Also, stock market return and volatility have stronger effects on corporate bonds than enterprise bonds, and enterprise bonds have a higher sensitivity on the changes of macro economic variables.