Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market
نویسندگان
چکیده
Article history: Received 8 July 2014 Accepted 12 March 2015 Available online 21 March 2015 We study the impact of the recent global financial crisis on the determinants of corporate bond spreads, in particular, focusing on the impact of liquidity and credit risk on yield spreads using data regarding financial and non-financial bond issuers listed on the Korea Exchange (KRX). Our main findings reveal that the selected liquidity variables explain a relatively larger portion of the variation in yield spreads before and during the crisis period, whereas the credit risk component has become a more influential determinant of yield spreads after the crisis. This observation implies that investors in the Korean corporate bond market require more default risk premium in the post-crisis period in response to the increased uncertainty in thefinancialmarketwith the amplified economic vulnerability. © 2015 Elsevier B.V. All rights reserved. JEL classification: G01 G12 G32
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