简介：This paper studies the relationship between stock volatility and corporate bond yield spread in;
Thai market by using Campbell and Taksler (2003) panel data regression approach. The results show that the;
equity volatility’s variables， such as firm’s idiosyncratic risk， market risk， individual stock return and market;
return， are matter to explain the corporate bond yield spread. Surprisingly， these variables could explain the spread;
better than credit rating variables. Furthermore， during bear market period， only corporate bond yield spreads in;
financial firms are increasing significantly. Some of the deterministic yield spread parameters such as level and;
slope of interest rate also alter from bull market period.
简介：This paper studies the relationship between stock volatility and corporate bond yield spread in; Thai market by using Campbell and Taksler (2003) panel data regression approach. The results show that the; equity volatility’s variables， such as firm’s idiosyncratic risk， market risk， individual stock return and market; return， are matter to explain the corporate bond yield spread. Surprisingly， these variables could explain the spread; better than credit rating variables. Furthermore， during bear market period， only corporate bond yield spreads in; financial firms are increasing significantly. Some of the deterministic yield spread parameters such as level and; slope of interest rate also alter from bull market period.