管理工程学报2025，Vol.39Issue(5)：25-44,20.DOI:10.13587/j.cnki.jieem.2025.05.003
趋利先避害——媒体报道对公司债市场交易行为的影响
The impact of news media on trading behavior in the Chinese corporate bond market
摘要
Abstract
Recently,an increasing number of researchers have measured stock news sentiment and have discussed the impact of news sentiment on stock returns and firm characteristics.However,most of the prior literature has focused on the stock market,while only a few researchers have discussed the impact of news media on the bond market.In this paper,we measure news sentiment for Chinese listed companies that owned unmatured corporate bonds from 2014 to 2020 based on Sina Finance individual stock news.We then investigate the relationship between news sentiment and trading behavior in the Chinese corporate bond market. First,by using a logistic model to regress the dummy of the existence of bond transactions on news sentiment,we demonstrate that negative news sentiment significantly increases the probability of corporate bond transactions and lowers its yield.In contrast,positive news sentiment significantly reduces the probability of bond transactions but does not have a significant effect on yield.This is mainly because after bondholders read about a company's bad news,they have pessimistic expectations of the company's future and sell its corporate bonds.In contrast,good news increases bondholders' confidence and reduces their desire to trade. Second,using a subsample of bond transactions,we further discuss the impact of news sentiment on corporate bond trading volume and find that the difference in news sentiment has no significant effect on the trading volume of corporate bonds.We believe that the main reason for the insignificance of news sentiment is that the Chinese corporate bond market is inactive and does not have adequate turnover. Then,we attempt to determine the mechanism by which news sentiment affects corporate bond trading and returns.Given the serious information asymmetry problem in the Chinese corporate bond market,the potential story may be that news sentiment affects this inactive corporate bond market by increasing information transparency,which alleviates information asymmetry and encourages investors to trade corporate bonds.We test the potential mechanism by checking the mediating effect of information transparency.In greater detail,we discuss the two types of information transparency:financial information transparency and market information transparency.Financial information transparency is measured using the"Opaque"index,and market information transparency is measured using the number of news reports,analysts,and firm research reports.The test of the mediating effect supports the statement that news sentiment increases the probability of bond transactions by improving the transparency of market information,especially news reports,while the transparency of financial information has no mediating effect. Moreover,we discuss cross-sectional heterogeneity and find that news sentiment has a greater impact on bonds with longer remaining maturities but no differences for corporate bonds with different credit ratings.The heterogeneous test result may be due to the high rating of overall bonds and the low default rate of firms in the corporate bond market during our sample period.In particular,the regression result in the first part shows that corporate bond trading is associated with the next week's news sentiment,indicating instances of news leakage in the Chinese corporate bond market;i.e.,some investors trade before news is reported. Finally,we conduct a robustness test by merging the news published in one week into clusters and measuring news sentiment with alternative financial sentiment dictionary.The results of the robustness test are mainly consistent with the main regression results. In summary,our findings complement the research on the impact of news media on the Chinese bond market and expand the research on institutional investors' investment behavior and insider trading in the bond market.Given the development of China's bond market,an increasing number of individual investors participate in the bond market,and individual investors are more vulnerable to the impact of news reports.Therefore,we believe that studying the impact of news media on the bond market is of great significance and can provide inspiration for regulators on how to prevent the negative impact of news media on the bond market.关键词
媒体报道/公司债/债券市场/内幕交易/信息透明度Key words
Corporate news/Corporate bond/Bond market/Insider trading/Information transparency分类
管理科学引用本文复制引用
杜子佳,吴文锋,陈宝怡..趋利先避害——媒体报道对公司债市场交易行为的影响[J].管理工程学报,2025,39(5):25-44,20.基金项目
国家自然科学基金项目(72310107002) The National Natural Science Foundation of China(72310107002) （72310107002）
