Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market. (April 2020)

• Record Type: Journal Article
• Authors: Krishnan, Kaveri; Basu, Sankarshan; Thampy, Ashok
• Is Part Of: Journal of emerging market finance. Volume 19:Number 1(2020:Jan./Apr.)
• Page Start: 7
• Page End: 32
• Publication Date: 2020-04
• Subjects: Credit rating -- global financial crisis -- information content -- emerging markets; Banks and banking -- Developing countries -- Periodicals; Financial institutions -- Developing countries -- Periodicals; Securities -- Developing countries -- Periodicals; 332.09172405
• DOI: 10.1177/0972652719877472
• Languages: English
• ISSNs: 0972-6527

Abstract

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