摘要
特质风险向债券市场传递风险的方式,直接关系到债券定价逻辑和系统性金融风险防范。本文选取交易所公司债数据,从投资者信息挖掘行为和非理性交易行为出发,研究债券特质风险对信用利差的传导效应与传导机制,并从违约视角探索特质风险产生传导效应的原因,同时分析投资者对不同类型债券所做反应的异质性。研究结论表明:特质风险会通过信息挖掘机制和噪声交易机制影响信用利差,且以噪声交易机制为主;违约事件引致了更多噪声交易,是特质风险产生传导效应的重要环境因素;发行人的股票上市或国企背景降低了投资者面临的信息不对称程度,并有效抑制了噪声交易机制的作用,而债券的低评级或短期限特征则会引发投资者的抛售行为,进而放大了噪声交易机制的作用。
The transmission mode of idiosyncratic risk to the bond market is directly related to bond pricing logic and systemic financial risk prevention. Based on the data of corporate bonds from the stock exchange,this paper studies the transmission effect and transmission mechanism of bond idiosyncratic risk to credit spread from the perspective of investors’ information mining behavior and irrational trading behavior,and explores the reasons why idiosyncratic risk produces transmission effect from the perspective of default and analyzes the heterogeneity of investors’ reactions to bonds of different types. The results show that: 1) Idiosyncratic risk will affect the credit spread through information mining and noise trading mechanisms,and noise trading is the major one;2) Default events lead to more noise trading,which is an important environmental factor for the transmission effect of idiosyncratic risk;3) The listed or state-owned background of the issuer reduces the degree of information asymmetry faced by investors and effectively inhibits the noisy trading mechanism.However,the low rating or short-term characteristics of bonds will lead to the fire-sale behavior of investors,which will amplify the effect of noisy trading mechanisms.
作者
周聪
张宗新
Zhou Cong;Zhang Zongxin
出处
《统计研究》
CSSCI
北大核心
2021年第6期86-101,共16页
Statistical Research
基金
国家自然科学基金面上项目“基于机器学习算法优化的中国资本市场系统性风险监测、预警与管控研究”(72073035)
作者简介
通讯作者:周聪,复旦大学经济学院博士研究生。研究方向为金融市场。电子邮箱:idzhoucong@126.com;张宗新,复旦大学经济学院教授。研究方向为金融市场。
