Implicit government guarantees in the Chinese bond market, which shaped investors’ belief in rigid payment, have been withdrawn after the first bond default, causing spillover effects on non-defaulted bonds. This study investigates the intra-regional spillover effects of the staggered first...

Trade signing algorithms that rely on quote data, tick data or both have been used extensively to assign a trade as either a buy or a sell. Leveraging the availability of a large panel of signed trade data in the corporate bond market, we explore machine learning methods to uncover a new trade...