Abstract
Taking the data of China's listed banks from 2015 to 2021 as a sample, this paper uses the event study method to analyze the impact of credit rating announcements on the effectiveness of the stock market. The results indicate that credit rating announcements have no significant impact on stock returns, and the market is in a semi strong form efficient state. By observing the excess returns of stocks after credit rating downgrades and upgrades, it is found that the excess returns after rating downgrades are not significantly negative, and the market is in a semi strong form efficient state; The rating upgrade has a significant positive impact on stock returns, indicating that the market is in a weakly efficient state.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
