The Impact of Credit Rating Adjustments on Bond Spreads: Evidence from China

Authors

  • Sinbad Kurbonov SILC Business School, Shanghai University, China
  • Bobur Nasriddinov SILC Business School, Shanghai University, China
  • Kessellie Traore Mulbah SILC Business School, Shanghai University, China

Keywords:

Credit rating, bond spreads, credit rating adjustments

Abstract

This paper investigates the impact of credit rating adjustments on bond spreads in the Chinese bond market, using a comprehensive dataset spanning from 2016 to 2022. Employing regression analysis and heterogeneity tests, the study explores the relationship between credit ratings, credit rating adjustments, and bond spreads, considering various control variables and the moderating effect of listing status. The findings reveal that credit rating adjustments significantly influence bond spreads, with upgrades narrowing spreads and downgrades widening them. Additionally, adjustments related to external support and firm performance were found to affect spreads, highlighting the importance of managing credit ratings for issuers. The study offers insights for investors, issuers, regulators, and academics, emphasizing the significance of credit rating information in investment decisions and market supervision. Overall, the research contributes to a better understanding of the dynamics between credit rating adjustments and bond pricing in China's bond market, with implications for financial stability and economic development.

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Published

2024-04-11

How to Cite

Kurbonov, S., Nasriddinov, B., & Mulbah, K. T. (2024). The Impact of Credit Rating Adjustments on Bond Spreads: Evidence from China. ESI Preprints, 28, 1. Retrieved from https://esipreprints.org/index.php/esipreprints/article/view/879

Issue

Vol. 28 (2024): ESI Preprints

Section

Preprints

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