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The impacts of liquidity measures and credit rating on corporate bond yield spreads: evidence from China’s green bond market

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  • Kai Chang
  • Yan Ling Feng
  • Wang Liu
  • Ning Lu
  • Sheng Ze Li

Abstract

This article investigates the nexus among the liquidity measures, credit ratings, and the yield spreads of green corporate bonds in China using panel data analysis and the generalized method of moments (GMM). Lower market liquidity, a lower credit rating level, and a shorter issued age are more significant for enlarging the yield spreads of ordinary corporate bonds than those of green corporate bonds. Compared with the AAA credit rating level, the illiquidity ratio, nontrade frequency ratio, zero-trade volume, yield volatility, interest rate margin and issued age have more significant influences on the yield spreads of ordinary corporate bonds than those of green corporate bonds. The liquidity and credit rating have greater differences in affecting the yield spreads of green corporate bonds with different issuance terms.

Suggested Citation

  • Kai Chang & Yan Ling Feng & Wang Liu & Ning Lu & Sheng Ze Li, 2021. "The impacts of liquidity measures and credit rating on corporate bond yield spreads: evidence from China’s green bond market," Applied Economics Letters, Taylor & Francis Journals, vol. 28(17), pages 1446-1457, October.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:17:p:1446-1457
    DOI: 10.1080/13504851.2020.1824062
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    Cited by:

    1. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Ghardallou, Wafa & Umar, Zaghum, 2022. "Is greenness an optimal hedge for sectoral stock indices?," Economic Modelling, Elsevier, vol. 117(C).
    2. Yoshihiro Zenno & Kentaka Aruga, 2023. "Investigating Factors Affecting Institutional Investors’ Green Bond Investments: Cases for Beijing and Shenzhen," Sustainability, MDPI, vol. 15(6), pages 1-16, March.
    3. Wang, Haiyang, 2023. "Liquidity of corporate bonds and credit spread," Finance Research Letters, Elsevier, vol. 55(PB).
    4. Tang, Ying & Wang, Biliang & Pan, Ningning & Li, Zhiyong, 2023. "The impact of environmental information disclosure on the cost of green bond: Evidence from China," Energy Economics, Elsevier, vol. 126(C).

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