The Impact Of Changes In Credit Ratings On The Stock Prices Of Listed Companies In China

As the gatekeeper of the financial market,the responsibility of the credit rating agencies is to evaluate the performance of the enterprise,the reputation of the investment,the comprehensive strength and the future development,and give the corresponding risk warning.Obtaining the rating certification of rating agencies is also a necessary prerequisite for corporate financing.Different credit rating or credit rating adjustments correspond to different financing costs.For investors,the information of rating adjustment announcement can also be used as a basis for stock investment of listed companies,and then produce stock price effect.On the basis of effective market theory and reputation theory,this paper uses empirical research methods to investigate the relationship between the credit rating change announcement and the stock price volatility of listed companies from the perspective of Listed Companies in China.Specifically,this paper takes the data of the credit rating change of Listed Companies and the stock abnormal return data of the 14 days before the change of credit rating to15 days after the change in Shanghai and Shenzhen from 2015 to 2017.Through the event research method,we use the EVIEWS software to judge the statistical significance of the abnormal return rate before and after the rating change,and then establish the credit rating announcement effect.through the STATA software we build The threshold model of the influencing factors,taking the company rating as a threshold variable before the change of credit rating,takes the risk coefficient,the asset liability rate as the core explanatory variable and the listed company’s stock abnormal return as the interpreted variable,and empirically investigates the effect of the potential risk of the listed company on the stock return rate under the conditions of different rating regions.The empirical study found that:(1)the abnormal returns of the stock price of the listed companies before and after the change of the main credit rating dohave statistical significance;(2)the stock price effect of the credit rating change is not statistically significant in the event day of the change of credit rating(in this article is defined as-1 to 1 days)and the close window period of the distance event period.That is to say,when there is a credit rating change announcement,investors may not respond to the rating change results in the financial market.(3)in the intrinsic driving factors of credit rating change,the change of company specific risk is one of the main reasons that cause abnormal returns of stock price.Different from previous studies,this paper also finds that:(1)different from the pre empirical hypothesis,in the change of credit rating downgrade,the negative rate of return on stock prices of listed companies is not statistically significant in the study of existing samples.(2)the current rating of listed companies before the change of credit rating can indeed affect the trend of stock returns after the change of rating,and there is a threshold effect on the impact of credit rating change on the stock price of listed companies.This is also the main innovation of this article.On the basis of the above research,in view of the specific situation of China’s securities market,this paper puts forward the following policy suggestions:(1)for credit rating agencies,the credit rating agencies do not show the abnormal volatility of the stock and the negative returns when the credit rating is negative,suggesting that the credit rating agencies improve the information of their own rating bulletin.Sowing ability.We should make full use of the convenient Internet or cooperate with many platforms to make timely risk warning for investors and improve the effectiveness of credit rating market.(2)for the credit rating market managers,the rating buying mode has some drawbacks,which can lead to the imbalance of principal-agent relationship in the rating market.Therefore,optimizing the payment mode of rating market is the only way to achieve effective market supervision.(3)for the users of credit rating change information,rating change information does have a certainreference to the investment decision,and the reading of the rating bulletin can deepen the understanding of the investment object and the perception of the market.At the same time,reading the content of information announcement rating should be screened with many aspects,correctly treat the credit changed.