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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/68232


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/68232


    題名: 信用評等調整宣告對市場報酬及交易量之影響
    The Market Return and Trading Volume Reactions to Credit Rating Change Announcements
    作者: 龔慧慈
    貢獻者: 周冠男
    龔慧慈
    關鍵詞: credit rating
    market returns
    stock trading volume
    order imbalance
    日期: 2013
    上傳時間: 2014-08-06 11:40:44 (UTC+8)
    摘要: Credit ratings are one of the important implications that affect the investors’ behavior in stock markets. We explore the stock reactions to the announcements of credit rating changes from the aspect of returns and trading volume. According to our empirical studies, we find that as S&P announced credit rating upgrading, significant positive cumulative abnormal returns exist in event period, and downgrading with significant negative cumulative abnormal returns. In the trading volume dimension, cumulative abnormal trading volume is statistically significant to both credit rating upgrading and downgrading stocks. Further, we examine the direction of the trading on the day of the credit rating change announcements. The results indicate that the order imbalance is positive significant to upgrading stocks and negative significant to downgrading stocks. We infer that investors are confident of credit rating upgrading stocks and willing to buy more shares that bring about positive abnormal returns; on the other hand, they inclined to sell more shares of credit rating downgrading stocks that cause negative abnormal returns.
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    描述: 碩士
    國立政治大學
    財務管理研究所
    101357016
    102
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0101357016
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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