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Liquidity of corporate bonds and credit spread

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  • Wang, Haiyang

Abstract

We examine corporate bond liquidity's impact on credit spreads for listed companies in China. An empirical study is conducted by selecting monthly trading data of the listed company bond market from January 2011 to June 2020. It is found that the better the liquidity of listed corporate bonds in China, the smaller the risk compensation required by investors and the smaller the credit spread. This effect is more significant in periods of illiquidity. In addition, only the liquidity of corporate bonds issued by issuers in less economically developed regions significantly affects credit spreads.

Suggested Citation

  • Wang, Haiyang, 2023. "Liquidity of corporate bonds and credit spread," Finance Research Letters, Elsevier, vol. 55(PB).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003136
    DOI: 10.1016/j.frl.2023.103941
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    References listed on IDEAS

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