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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68232


    Title: 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
    Authors: 龔慧慈
    Contributors: 周冠男
    龔慧慈
    Keywords: credit rating
    market returns
    stock trading volume
    order imbalance
    Date: 2013
    Issue Date: 2014-08-06 11:40:44 (UTC+8)
    Abstract: 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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    Description: 碩士
    國立政治大學
    財務管理研究所
    101357016
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101357016
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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