I have my own theory. A GRB must cause a huge ionization. This in turn causes the light from it to be redshifted by the Compton effect. Thus, the GRB redshift is intrinsic and not a measure of distance or velocity of the source. This is the same as the large (nearly 1%) red shift on the sun seen in the gamma spectrum by HESSI during a solar flare. The sun doesn't suddenly temporarily appear at the red shift distance nor does it move away from us.
http://sprg.ssl.berkeley.edu/adminst...03_ajl_L81.pdf