Idiosyncratic volatility has an impact on corporate bond spreads: Empirical evidence from Chinese bond markets

WSEAS Transactions on Systems

Volumn 12, Issue 5, 2013, Pages 280-289

  Wang, Su Sheng ^a   Huang, Jie Min ^a   Chang, Kai ^b   Huang, Jie Yong ^c   Yang, Xi ^a  

^a SHENZHEN UNIVERSITY   (China)

^b ZHEJIANG UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c NONE

Author keywords

Bond complex index; Corporate bond; CPI; Idiosyncratic volatility; Spreads; Stock complex index

Indexed keywords

COMPLEX INDICES; CORPORATE BOND; CPI; IDIOSYNCRATIC VOLATILITY; SPREADS;

FINANCE;

COMMERCE;

EID: 84876981032     PISSN: 11092777     EISSN: 22242678     Source Type: Journal    
DOI: None     Document Type: Article

References (21)

1. L. Güntay; D. Hackbarth, Corporate bond credit spreads and forecast dispersion, Journal of Banking & Finance, Vol.34, 2010, pp. 2328-2345.
2. E. Miller, Risk, uncertainty and divergence of opinion, Journal of Finance, Vol. 32, 1977, pp.1151-1168.
3. J. Dick-Nielsen; P. Feldhutter; D. Lando, Corporate bond liquidity before and after the onset of the subprime crisis, Journal of Financial Economics, Vol.103, 2010, pp. 471-492.
4. R. Bewley; D. Rees; P. Berg, The impact of stock market volatility on corporate bond credit spreads. Mathematics and Computers in Simulation, Vol.64, 2004, pp. 363-372.
5. J. Campbell; G. Taksler, Equity Volatility and Corporate Bond Yields, Journal of Finance, Vol.8, No.6, 2003, pp. 2321-2349.
6. M. Kalimipalli; S. Nayak, Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market, Journal of Financial Intermediation, Vol.21, No.2, 2012, pp. 217-242.
7. P. Feldhuetter; M.S. Nielsen, Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets, Journal of Financial Econometrics, Vol.10, No.2, 2012, pp. 292-324.
8. G. Gemmill; A. Keswani, Downside risk and the size of credit spreads, Journal of Banking & Finance, Vol.35, 2011, pp. 2021-2036.
9. E. Elton; M. Gruber; D. Agrawal; C. Mann, Explaining the Rate Spread on Corporate Bonds, Journal of Finance, Vol.6, No.1, 2001, pp.247-277.
10. J. Huang; M. Huang, How much of the Corporate-Treasury yield spread is due to credit risk, working paper, 2002.
11. Y. Tang; H. Yan, Market conditions, default risk and credit spreads, Journal of Banking & Finance, Vol.34, 2010, pp. 743-753.
12. W. Gebhardt; S. Hvidkjaer, The cross-section of expected corporate bond returns: Betas or characteristics, Journal of Financial Economics, Vol.75, 2005, pp. 85-114.
13. F. Neri, Agent Based Modeling Under Partial and Full Knowledge Learning Settings to Simulate Financial Markets, AI Communications, Vol.25, No.4, 2012, pp. 295-305.
14. K. Chang; Su-Sheng Wang; Peng Ke, The Valuation of Futures Options for Emissions Allowances under the Term Structure of Stochastic Multi-factors, WSEAS Transactions on Systems, Vol.11, No. 12, 2012, pp. 661-70.
15. P. Hajek, Forecasting Stock Market Trend using Prototype Generation Classifiers, WSEAS Transactions on Systems, Vol.11, No. 12, 2012, pp. 671-80.
16. S. Wang; Y. Liu; Z. Li, The Relationship between Media Information and Stock Returns Based on Text Semantic Mining Algorithms, 2011 International Conference on Information Management, Innovation Management and Industrial Engineering, Vol.10, No.1109, 2011, pp. 531-4.
17. S. Wang; Y. Mai; H. Ning, Pure statistical and multi-level industrial pairs trading: bridged by statistical characters, 3rd International Conference on Manufacturing Science and Engineering, Vol.479-481, 2012, pp. 829-832.
18. K. Chen; H. Lin; T. Huang, The Prediction of Taiwan 10-Year Government Bond Yield, WSEAS Transactions on Systems, Vol.8, No. 9, 2009, pp. 1051-60.
19. H. Zuo; M. Zheng; Y. Zhang, Equity idiosyncratic volatility and cross-section yields: explaining on Chinese equity "Idiosyncratic volatility", Journal of World Economy, Vol.5, 2011, pp. 117-135.
20. J. Lv; G. Jiang, Research on volatility characteristics of bond price in exchange market, Journal of Financial Research, Vol.12, 2004, pp. 89-96.
21. G. Duffee, The Relation between Treasury Yields and Corporate Bond Yield Spreads, Journal of Finance, Vol.6, No.53, 1998, pp. 2225-2242.