全球金融危机是否改变了市场对信用评级的反应?来自新兴市场的证据

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2020-04-01 DOI:10.1177/0972652719877472

K. Krishnan, Sankarshan Basu, Ashok Thampy

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引用次数: 4

摘要

本文利用印度的数据分析了全球金融危机前后市场对信用评级修订的不同反应。通过回顾1996-2015年期间股价对长期评级变动公告的反应，研究发现有证据表明，2008年全球金融危机后，股价对评级公告的反应较小。然而，GFC之前和之后的累积异常回报的差异在统计学上并不显著。JEL代码：G240、G010、G140

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market

This article analyses the differential market response to credit rating revisions in the pre- and post-global financial crisis (GFC) period using data from India. By reviewing the stock price reaction to the announcement of long-term rating changes during the period 1996–2015, the study finds evidence that the stock price reacted less to rating announcements after the GFC of 2008. However, the difference in the cumulative abnormal returns before the GFC and after the GFC is not statistically significant. JEL codes: G240, G010, G140

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.