债券违约对流动性影响的传染效应研究

2014年以来我国信用债市场违约事件频发,信用风险的积聚可能引发债券市场流动性恶化。本文以2014―2019年交易所和银行间市场信用债为研究对象,实证考察违约事件对债券流动性影响的传染效应。研究发现:违约事件在同一发行主体的债券之间具有流动性传染效应,当公司的某期债券出现违约时,公司其他未到期债券的流动性水平显著下降;违约事件对同行业其他公司债券的流动性具有传染效应,当行业中出现债券违约事件时,行业内其他公司的债券流动性显著降低;违约事件爆发越密集或者违约事件越严重,对债券流动性的负面影响越大,而且民营企业债受到的影响要大于国有企业债,低信用等级债受到的影响要大于高信用等级债;在市场密集爆发违约事件或出现较为严重的违约事件时期,宏观流动性增加能够改善债券流动性。

The Contagion Effects of Bond Defaults on Liquidity

Frequent default events have emerged since 2014,which may lead to the deterioration of liquidity in China’s credit bond market when credit risks accumulate.Based on the sample period from 2014 to 2019,this paper empirically investigates the contagion effects of credit bond defaults on bond liquidity in the exchange market and interbank market.The findings indicate that bond defaults exert significant contagion effects on bond liquidity.Firstly,bond defaults have contagion effects on the bonds issued by the same issuer.When one bond defaults,the liquidity of the issuer’s other unmatured bonds decreases significantly.Secondly,bond defaults have contagion effects on the liquidity of other bonds in the same industry.When bond default event occurs,the liquidity of bonds of other issuers in the same industry is significantly reduced.Thirdly,the more frequent bond defaults are or the more serious default events are,the more bond liquidity decreases;and the impact on private enterprise bonds is greater than that of state-owned enterprise bonds;the impact of low-rating bonds is greater than that of highrating bonds.Finally,in the period of market with intensive defaults or serious defaults,the increase of macro liquidity can improve bond liquidity.