點心債券和中國公司債券信用價差的影響因素

Abstract

本研究主要是探討，在中國離岸市場發行的點心債券以及中國境內市場發行的中國公司債的信用價差是受到什麼因素影響，採用的樣本是2011年至2012年間無信評與有信評的點心債券，共有216檔，另一組是挑選有經過中誠信國際信用評級有限責任公司或是聯合資信評估有限公司的中國國內公司債。 實證結果顯示，點心債券的信用價差顯著的受到兩個解釋變數的影響，一個是人民幣升值預期，另一個則是點心債券是否有信用評等；中國國內公司債的信用價差則受到債券的期間、發行規模、信用評等與發行公司產業類型的影響；本研究的最後一部分是想探討點心債券的到期殖利率有無顯著低於中國公司債的到期殖利率，研究結果呈現出點心債券的到期殖利率顯著低於中國公司債的到期殖利率，更進一步分析後發現，點心債券和債券發行規模呈正向關係，因為和中國境內債券市場相比較的話，以人民幣計價的境外點心債券市場規模仍偏小，深度較淺。

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.