股票市场知情交易如何影响信用债利差

doi:10.16381/j.cnki.issn1003-207x.2022.2798

摘要/Abstract

摘要：

股票市场知情交易体现相应企业信息泄漏程度，对于机构投资者为主体的中国银行业债券市场，这一重要信号对债券市场产生什么样的影响，是一个有趣的问题。本文利用2014年5月—2020年12月信用债发行与交易数据、股票高频交易数据，构建股票市场知情交易概率和债券流动性指标，运用回归分析以及调节效应、中介效应的检验方法，研究股票市场知情交易对中国银行间信用债定价的影响及流动性的渠道作用。结果表明，股票市场知情交易概率对信用债利差有显著正向影响。股票市场知情交易通过放大债券非流动性，进而导致信用债利差增大。股票市场知情交易对信用债利差的放大效应对于非流动性大的债券更加强烈。股票市场知情交易对信用债利差的放大效应在民营企业、信息透明度低、负债率高的企业样本中会更强。本研究揭示了知情交易跨市场影响债券市场定价，有助于加深对中国金融市场的理解。

关键词: 知情交易, 信用债利差, 市场流动性, 银行间债券市场, 知情交易概率

Abstract:

Informed trading in the stock market reflects the extent of information leakage of corresponding enterprises. For Chinese interbank bond market， which is dominated by institutional investors， an interesting question is whether and how informed trading in the stock market affects the pricing of corporate bonds. In this paper， it aims to examine the impact of informed trading in the stock market on corporate bond yield spreads and its transmission mechanism. Informed trading refers to the informed traders taking their information advantages to make trades and earn higher returns. It is proposed that uninformed traders holding bonds with more informed trading， require the higher risk compensation because uninformed trades face the risks of losing to informed trades. Liquidity is related to how informed trading gets incorporated into corporate bond prices. With the decrease of liquidity， it is more difficult for uninformed traders who stick to the market to obtain information through order flow， which damages the interests of these uninformed traders， so they require higher risk compensation. With the regression analysis and moderation and mediation effects test methods， these hypotheses are empirically tested based on two datasets of secondary market transactions of stocks and corporate bonds issued by Chinese listed firms from May 1， 2014， to December 31， 2020. In the regression analysis， it is found that the credit spreads increase as the informed trading in the stock market increases. It is found informed trading in the stock market affects corporate bond spread through a bond illiquidity channel. It is also found that the effect of informed trading in the stock market on credit spreads is exacerbated by higher bond illiquidity. Further evidence shows that the informed trading in the stock market effect is stronger for non-SOE firms， firms with higher information asymmetry， and firms with higher leverage. Moreover， our results remain robust to alternative measures of credit spread， informed trading； to the alternative samples；and to potential endogeneity bias. Three major contributions are made. Firstly， the significant impact of informed trading on the pricing of Chinese interbank credit bonds is confirmed， which reveals the interlinkages between markets through information transmission. Secondly， the channel role of illiquidity in the pricing of informed trading is illustrated and it helps to understand the underlying mechanism of the pricing impact of informed trading. Finally， the findings of this paper are helpful for both investors and regulatory authorities in their decision-making.

Key words: information trading, credit spreads, market liquidity, interbank bond market, probability of information trading

中图分类号:

F830

叶彦艺, 杨晓光. 股票市场知情交易如何影响信用债利差[J]. 中国管理科学, 2025, 33(9): 1-10.

Yanyi Ye, Xiaoguang Yang. Informed Trading in Stock Market and Credit Spreads in Bond Market[J]. Chinese Journal of Management Science, 2025, 33(9): 1-10.

图/表 9

表1

表2

表3

表4

内生性检验"

变量	(1)		(2)
	第一阶段		第二阶段
	AdjPIN		Spread
IV	0.927^***	$A d j P ̂ I N$	0.787^***
IV	(93.94)		(3.21)
Obs.	9354	Obs.	9354
Adj. R²	0.545	Adj. R²	0.631

表4

表5

表6

表7

异质性分析"

变量	(1)	(2)	(3)
变量	Spread
$Δ$ =	SOE	Analyst	Leverage
AdjPIN	1.933^***	0.921^***	-1.296
	(3.05)	(3.22)	(-1.60)
AdjPIN × $Δ$	-1.816^***	-0.011^**	2.836^**
	(-2.76)	(-2.36)	(2.33)
$Δ$	1.303^*	-0.002^*	2.567^***
	(1.71)	(-1.71)	(5.19)
Obs.	9354	9354	9354
Adj. R²	0.617	0.615	0.615

表7

表8

表9

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变量名称	变量符号	均值	标准差	25% 分位点	中位数	75%分位点
信用债利差	Spread	1.618	1.446	0.7	1.272	2.069
调整的知情交易概率	AdjPIN	0.135	0.059	0.104	0.128	0.155
票面利率	Coupon	4.294	1.294	3.28	4.3	5.13
发行期限	Term	2.082	1.802	0.75	1	3
剩余期限	Maturity	1.267	1.417	0.288	0.636	2.022
发行规模	Bsize	2.635	0.826	2.104	2.708	3.219
主体评级	Rating	1.659	1.21	1	1	2
非流动性比率	Amihud	0.032	0.096	0.001	0.003	0.023
Hasbrouck有效价差	Hasbrouck	0.005	0.014	0.001	0.002	0.004
LOT有效价差	LOT	0.015	0.026	0.003	0.007	0.014
价格离散	Dispersion	0.014	0.031	0.001	0.003	0.016
股票波动率	Volatility	0.023	0.014	0.013	0.019	0.029
营业利润率	OI	0.103	0.158	0.029	0.08	0.173
公司规模	Size	6.848	1.411	5.806	6.825	7.918
杠杆率	Leverage	0.646	0.138	0.55	0.673	0.751
分析师关注	Analyst	28.5	32.73	5	17	40
国债收益率	Treasury	3.267	0.368	2.973	3.244	3.566
利率斜率	Slope	0.495	0.224	0.372	0.471	0.566
市场收益率	CSI300	0.51	3.524	-0.249	0.13	0.513

变量	(1)	(2)	(3)
	Spread
AdjPIN	0.653^***	0.603^***	0.533^***
AdjPIN	(2.98)	(2.86)	(2.62)
Coupon		0.392^***	0.396^***
Coupon		(14.09)	(14.25)
Term		0.075^***	0.083^***
Term		(2.95)	(3.28)
Maturity		-0.026	-0.027
Maturity		(-0.98)	(-1.01)
Bsize		-0.027	-0.040
Bsize		(-0.62)	(-0.95)
Rating		0.110^***	0.084^***
Rating		(3.30)	(2.65)
Amihud		2.472^***	2.307^***
Amihud		(5.74)	(5.90)
Volatility			3.583^***
Volatility			(2.71)
Size			0.025
Size			(0.26)
OI			-0.017
OI			(-0.12)
Leverage			2.900^***
Leverage			(6.56)
Analyst			-0.004^***
Analyst			(-3.17)
Treasury			-0.353^***
Treasury			(-4.97)
Slope			0.176^***
Slope			(3.31)
CSI300			0.005^*
CSI300			(1.68)
Constant	1.198^***	-0.937^***	-1.804^*
Constant	(11.95)	(-4.94)	(-1.87)
公司/年度	控制	控制	控制
Obs.	9354	9354	9354
Adj. R²	0.523	0.605	0.616

变量	(1)	(2)	(3)	(4)
变量	Amihud	Hasbrouck	LOT	Dispersion
Panel A: 知情交易对非流动性的影响
AdjPIN	-0.007	0.005^***	0.008^**	0.013^***
AdjPIN	(-0.50)	(2.80)	(2.22)	(3.62)
Obs.	9354	9354	9354	9354
Adj. R²	0.371	0.513	0.449	0.671
变量	Panel B: 传导途径回归
变量	Spread
非流动性=	Amihud	Hasbrouck	LOT	Dispersion
AdjPIN	0.533^***	0.372^*	0.413^**	0.350^*
	(2.62)	(1.94)	(2.12)	(1.75)
非流动性	2.307^***	29.208^***	14.111^***	14.177^***
	(5.90)	(10.14)	(10.31)	(7.56)
Obs.	9354	9354	9354	9354
Adj. R²	0.616	0.639	0.635	0.630

变量	(1)	(2)	(3)	(4)
变量	Spread
非流动性=	Amihud	Hasbrouck	LOT	Dispersion
AdjPIN×非流动性	8.350^***	71.393^***	33.068^***	2.434^***
	(3.22)	(4.02)	(2.67)	(4.46)
AdjPIN	0.270	-0.063	-0.102	0.356^*
	(1.33)	(-0.36)	(-0.53)	(1.79)
非流动性	1.242^**	18.773^***	9.485^***	-0.224
	(2.41)	(4.15)	(3.87)	(-1.25)
Obs.	9354	9354	9354	9354
Adj. R²	0.616	0.642	0.636	0.602

变量	(1)	(2)	(3)	(4)	(5)	(6)	（7）	（8）	（9）
	Spread	Hasbrouck	Spread	Spread	Hasbrouck	Spread	Spread	Hasbrouck	Spread
	非国有企业			地方国有企业			中央国有企业
AdjPIN	1.860^***	0.021^***	1.361^**	0.721^**	0.002	0.624^*	0.131	-0.001	0.010
AdjPIN	(2.98)	(2.68)	(2.37)	(2.06)	(1.06)	(1.85)	(0.68)	(-0.14)	(0.05)
Hasbrouck			24.164^***			39.844^***			40.092^***
Hasbrouck			(6.93)			(15.75)			(19.99)
Obs.	2268	2268	2268	3626	3626	3626	3460	3460	3460
Adj. R²	0.560	0.553	0.604	0.488	0.534	0.501	0.454	0.236	0.494