A Study on Credit Spreads of Corporate Bonds in Taiwan Using the Stepwise Regression Method

Abstract

This thesis attempts to find the key determinants of credit spreads in Taiwanese bond market. Liquidity risk, time to maturity, stock market information, interest rate, and the financial ratios are considered in the model. The stepwise regression method is used to analyze credit spreads.n this thesis, the regression results for each variable show that time to maturity and interest are significantly correlated to credit spreads for most of the companies. The stepwise regression results in this thesis also show that liquidity risk, time to maturity, and interest rate are selected in the models of most companies.oth regression results and stepwise regression results in this thesis show that the stock market information is not important in explaining credit spreads.