The intra-regional spillover effects of bond defaults: evidence from the Chinese corporate debt market

Wenlong Wang, Yuqin Huang, John Watson, Bowen Yang

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)


Taking the first bond defaults in each province in China as credit events, we adopt a staggered difference-in-difference model and find that credit spreads of other corporate bonds in the same province increase by 15 basis points, suggesting spillover effects. The spillover effects are stronger on local state-owned enterprises (LSOEs) and non-state-owned enterprises (Non-SOEs) than on central state-owned enterprises (CSOEs). Moreover, the defaults of LSOEs trigger the greatest spillover effects among all types of defaults. Provinces with higher guarantee capability experience fewer spillover effects. Our findings suggest intra-regional spillover effects from investors' shaken beliefs on implicit government guarantees.

Original languageEnglish
Article number101887
Number of pages22
JournalPacific Basin Finance Journal
Publication statusPublished - Feb 2023


  • Bond default
  • Corporate debt securities
  • Implicit government guarantee
  • Spillover effects

Cite this