公司债券流动性影响因素的实证分析

An Empirical Analysis of Factors to Impact the Liquidity of Corporate Bonds

本文使用换手率、交易天数和交易量对公司债券的流动性进行测量,并运用多元回归模型进行实证分析。结果表明:影响中国公司债券流动性的主要因素是发行量、剩余到期时间和息票率,其中,发行量、剩余到期时间与流动性之间是负相关关系,息票率对流动性有正的影响效应。债券的信用评级对流动性没有影响。在行业因素当中,金融业的显著性最强,而材料行业没有影响,工业行业的影响非常小。债券复杂性的影响不显著。为更好地发展公司债券,应该对债券评级进行制度上的规范,完善现有的评级方法,增强评级机构的独立性,增大发行规模,促进债券品种的多元化。

This paper uses turnover,transaction days and volume to measure the liquidity of corporate bonds and empirically analyses the liquidity with the multiple regression model.The Conclusion of the paper is that the main factors to impact the liquidity of Chinses corporate bonds are issuing scale,maturity,and coupon rate,in which the issuing scale and maturity are negatively correlated with liquidity,the coupon rate has a positive impact.The credit rating of bonds has no impact on liquidity.The financial factor,one of industry factors,has the most significant impact and the impact of industrial factor is very small.The impact of bond complexity is not significant.To develop the corporate bond better,it is necessary to regulate the system of bond rating,improve the existing rating method,enhance the independence of rating agencies,increase the issuing scale and promote the diversification of bond variety.