點心債與內地債殖利率利差的決定因素

What Drives Yield Spreads between Dim Sum Bonds and Chinese Domestic Corporate Bonds?

本篇文章研究點心債及中國內地債殖利率差違反財務上所謂的law of one price。點心債是中國公司在海外，如香港，發行的人民幣債券。我們使用（i）套利限制；（ii）人民幣預期匯率等因來解釋不合理的殖利率利差。我們發現不論是套利限制或人民幣匯率預期皆可能解釋點心債與內地債的利差。這也部分解釋離岸及靠岸市場是有些區隔的。

We examine the deviation from the law of one price in the yield spreads between dim sum bonds and domestic corporate bonds issued by the same Chinese companies. We explain this phenomenon by (i) limits to arbitrage pertaining to liquidity risk, funding costs, and leverage constraints, and (ii) foreign exchange rate expectation. We find strong evidence of time-series and cross-sectional variations in the effects of limits to arbitrage and foreign exchange rate expectation on yield spreads. This suggests the potential market segmentation between the onshore and offshore bond markets.