Abstract:
Exchange bond market has two kinds of trading systems: auction trading and block trade. Due to trading volume threshold of block trade, retail investors' transactions are restricted to auction. This paper investigates the price gap between auction trading and block trade of the same bond on the same day, in order to identify the demand effects of retail investors on bond pricing. The results show that the price is significantly higher and the high-yield bonds are traded more frequently under auction, which indicate the investors using auction may exhibit the behaviors of yield-chasing and fundamentals ignoring. In addition, the price gap is larger for bonds with more retail demands (such as higher coupon rate and higher awareness). These results demonstrate that the demand effects of retail investors for high-yield bonds is the main reason why the price is higher under auction. Further evidence proves that the persistence of price gap is mainly due to the limits of arbitrage rather than liquidity premiums. Finally, “The Yunan Chengtou Bond Crisis” as an exogenous shock is studied and consistent results are obtained.
钟宁桦, 唐逸舟, 王姝晶, 沈吉. 散户投资者如何影响债券价格？——基于交易所同一只信用债的价格差分析[J]. 金融研究, 2018, 451(1): 121-137.
ZHONG Ninghua, TANG Yizhou, WANG Shujing, SHEN Ji. How do Retail Investors Affect Credit Bond Pricing: Analysis on the Two Prices of the Same Bond. Journal of Financial Research, 2018, 451(1): 121-137.
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