The purpose of this thesis is to investigate the determinants of credit spread changes of Korean corporate bonds using both transaction prices and matrix prices. Variables that should in theory determine credit spread changes have limited explanatory power. Especially, the leverage ratio that is initially expected to explain most of the spread changes turned out to be either statistically insiginificant or opposite in the sign of the coefficient. Statistically significant explanatory variables were only Kospi 200 monthly return, the level of interest rates. When additional variables were considered representing liquidity factor, business cycle and supply and demand for corporate bonds, explanatory power increased, yet the large portion of the credit spread changes remained to be uncovered. This results shows that monthly credit spread changes are principally driven by local supply and demand shocks that are independent of both credit risk factor and standard proxies for liquidity.