Determinants of Yield Spread on Dim Sum Bonds and China Corporate Bonds

• Main Authors: TZU-LI CHEN, 陳姿利
• Other Authors: 李存修
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/13075208131234187435

碩士 === 國立臺灣大學 === 財務金融學研究所 === 101 === The purpose of this study is to examine the determinants of credit spread between the Chinese offshore bond markets and the Chinese domestic bond market by using a sample of 216 dim sum bonds including rated and non-rated bonds in the Chinese offshore bond markets and a sample of 1105 bonds rated by either China Chengxin Credit Management Co., Ltd. or China Lianhe Credit Rating Co., Ltd. in the Chinese domestic bond market. The empirical results show that the credit spread of dim sum bonds is significantly affected by explanatory variables of RMB appreciation expectation and whether dim sum bonds are rated or not. The credit spread of China corporate bonds is influenced by independent variables of the term-to-maturity of the bond issue, issue size, credit rating and the industry of the issuing corporation. The last part of this paper tries to find out if the yield to maturity of dim sum bonds is significantly lower than that of China corporate bonds. The results indicate that the credit spread of dim sum bonds is significantly lower than that of China corporate bonds and further analysis find that the credit spread of dim sum bonds is positively related to issue size due to the Chinese offshore RMB-denominated bond market which is small and lacks depth compared to the Chinese inshore bond market.