The Effects of Credit Rating Announcements on Stock Return in Malaysia

This study aims to provide a comprehensives investigation of the effect of bond rating changes on stock returns in Malaysia between the years 2000-2008. The study examines the rating changes of both Private Debt Securities (PDS) and Islamic Private Debt Securities (IPDS) based on ratings by RAM Rati...

Full description

Saved in:

Bibliographic Details
Main Author:	Husin, Norsuhaida
Format:	Thesis
Language:	English English
Published:	2010
Subjects:	Bonds - Ratings and rankings - Malaysia Stocks - Rate of return Credit ratings - Malaysia
Online Access:	http://psasir.upm.edu.my/id/eprint/19477/1/FEP_2010_18.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-upm-ir.19477
record_format	uketd_dc
spelling	my-upm-ir.194772013-03-21T07:42:11Z The Effects of Credit Rating Announcements on Stock Return in Malaysia 2010-03 Husin, Norsuhaida This study aims to provide a comprehensives investigation of the effect of bond rating changes on stock returns in Malaysia between the years 2000-2008. The study examines the rating changes of both Private Debt Securities (PDS) and Islamic Private Debt Securities (IPDS) based on ratings by RAM Rating Services Berhad (RAM) and Malaysia Rating Corporation Berhad (MARC). All the data are collected from RAM, MARC, Bond Pricing Agency Malaysia, Thomson Datastream, Securities Commission and Bank Negara Malaysia. The abnormal returns are calculated by using event study methodology and the beta is adjusted by using Dimson-Fowler Rorke (DFR) method. The findings reveal that when there is an announcement of rating upgrades for PDS, stock price react negatively and affect the firm returns while for IPDS the effect is negative but insignificant. The results for downgrades of PDS show that stock market responds negatively and significant while for IPDS it is negative but insignificant. This study also identifies determinants of abnormal return on bond announcement with associated firm (FIRM SIZE & LEVERAGE) and bond-specific factors (MATURITY).There is useful information for PDS and IPDS on the LEVERAGE of the rating change. Bonds - Ratings and rankings - Malaysia Stocks - Rate of return Credit ratings - Malaysia 2010-03 Thesis http://psasir.upm.edu.my/id/eprint/19477/ http://psasir.upm.edu.my/id/eprint/19477/1/FEP_2010_18.pdf application/pdf en public masters Universiti Putra Malaysia Bonds - Ratings and rankings - Malaysia Stocks - Rate of return Credit ratings - Malaysia Faculty of Economics and Management English
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English English
topic	Bonds - Ratings and rankings - Malaysia Stocks - Rate of return Credit ratings - Malaysia
spellingShingle	Bonds - Ratings and rankings - Malaysia Stocks - Rate of return Credit ratings - Malaysia Husin, Norsuhaida The Effects of Credit Rating Announcements on Stock Return in Malaysia
description	This study aims to provide a comprehensives investigation of the effect of bond rating changes on stock returns in Malaysia between the years 2000-2008. The study examines the rating changes of both Private Debt Securities (PDS) and Islamic Private Debt Securities (IPDS) based on ratings by RAM Rating Services Berhad (RAM) and Malaysia Rating Corporation Berhad (MARC). All the data are collected from RAM, MARC, Bond Pricing Agency Malaysia, Thomson Datastream, Securities Commission and Bank Negara Malaysia. The abnormal returns are calculated by using event study methodology and the beta is adjusted by using Dimson-Fowler Rorke (DFR) method. The findings reveal that when there is an announcement of rating upgrades for PDS, stock price react negatively and affect the firm returns while for IPDS the effect is negative but insignificant. The results for downgrades of PDS show that stock market responds negatively and significant while for IPDS it is negative but insignificant. This study also identifies determinants of abnormal return on bond announcement with associated firm (FIRM SIZE & LEVERAGE) and bond-specific factors (MATURITY).There is useful information for PDS and IPDS on the LEVERAGE of the rating change.
format	Thesis
qualification_level	Master's degree
author	Husin, Norsuhaida
author_facet	Husin, Norsuhaida
author_sort	Husin, Norsuhaida
title	The Effects of Credit Rating Announcements on Stock Return in Malaysia
title_short	The Effects of Credit Rating Announcements on Stock Return in Malaysia
title_full	The Effects of Credit Rating Announcements on Stock Return in Malaysia
title_fullStr	The Effects of Credit Rating Announcements on Stock Return in Malaysia
title_full_unstemmed	The Effects of Credit Rating Announcements on Stock Return in Malaysia
title_sort	effects of credit rating announcements on stock return in malaysia
granting_institution	Universiti Putra Malaysia
granting_department	Faculty of Economics and Management
publishDate	2010
url	http://psasir.upm.edu.my/id/eprint/19477/1/FEP_2010_18.pdf
_version_	1747811391317737472

The Effects of Credit Rating Announcements on Stock Return in Malaysia

Similar Items