VIX’s Impact on Chinese Corporate Bond Default

Yilan Zhou

doi:10.54691/bcpbm.v20i.1038

Authors

Yilan Zhou

DOI:

https://doi.org/10.54691/bcpbm.v20i.1038

Keywords:

VIX; Corporate bond; Default rate; Linear regression.

Abstract

In recent year, Chinese corporate bond default rate continues to grow. Besides international and domestic affects, infection of external risks could cause changes in Chinese corporate bond market. Regarding this issue, this paper investigates the systematic mechanism of global risk infection through the study of VIX’s impact on Chinese Corporate bond default. More specifically, this paper uses VIX index to measures the global risk, and separately use the amount and dollar amount of Chinese corporate bond default rate to measure the condition of the Chinese corporate bond market. The findings of this study show that the default index rises with the increase of the VIX index.

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