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

Table 2

Descriptive statistics of variables.

Variables	Name	Sample size	Mean	SD	Min.	Max.
Credit spread	Tic	6,359	16.91	571.81	−67.44	42114.54
Winsorized credit spread	Wtic	6,359	6.32	3.22	3.06	16.33
Credit rating	Crdrate	6,359	15.67	0.79	13.00	17.00
Short-term credit rating	Stcr	6,359	15.68	0.93	1.00	17.00
Long-term credit rating	Ltcr	6,359	15.40	1.03	1.00	17.00
Bond year	Bndyer	6,359	2013.52	1.58	2009.00	2017.00
Bond type	Bndtype	6,359	0.12	0.32	0.00	1.00
Actual issuance	Acisuquty	6,359	13.80	14.10	0.60	200.00
Duration	Term	6,359	6.37	1.71	1.50	15.00
Call option	Crdeem	6,359	0.02	0.15	0.00	1.00
Put option	Crtsell	6,359	0.40	0.49	0.00	1.00
Cross-market	Whcrsmak	6,359	0.57	0.50	0.00	1.00
Annual amplitude	Mpervolt	6,359	61.52	49.67	0.00	130.19
Cumulative trading days this year	Matrdd	6,359	169.62	86.88	1.00	245.00