Impact of Credit Rating on the Bond Market Based on TIC Model

Table 1

Basic information of variables.

Symbols	Variables	Definitions	Expected compliance
TIC	Issue spread (%)	The difference between the yield to maturity and the benchmark interest rate on the closing date of the bond year
Crdrate	Credit rating	Credit rating on basic information sheet of a bond	−
Ltcr	Short-term credit rating	Rating of a bond	−
Trdyer	Long-term (subject) credit rating	Rating of a bond issuer	−
LT	Short-term + long-term credit rating		−
Bndyer	Year of bond (year)	The issuance year of a bond	+
Bndtype	Bond type	Types of bonds	Not sure
Acisuquty	Actual issuance (100 million yuan)	Size of bond issuance	−
Term	Duration (year)	The issuance period of a bond	+
Crdeem	Call option	The dummy variable of whether the bond is redeemable or not	Not sure
Crtsell	Put option	The dummy variable of whether the bond has the redemption option	Not sure
Whcrsmak	Cross-market		−
Mpervolt	Annual amplitude	The stability of the bond market greater amplitude indicates higher market volatility and risk	+
Matrdd	Cumulative trading days of this year	Trading time of bonds	Not sure