The Correspondence to Stock Price Changes with Taiwan Corporate Credit Risk Index

論文翻譯標題: 股價變動與信用風險指標之關聯研究-以台灣為例
  • 陳 苑怡

學生論文: Master's Thesis


This paper uses changes in the Taiwan Corporate Credit Risk Index (TCRI) to examine abnormal return of common stock The evidence suggests that there is significantly positive abnormal return with respect to upgrade announcements and that there is no significant relationship between TCRI and excess return when downgrading The previous literature has been mainly event studies focused on the effects of rating changes regarding to stock returns during specific day-windows related to surrounding announcement releases with less literature analyzing the effect by using the TCRI which renews quarterly In spite of the fact that the TCRI is updated quarterly it cannot affect the financial market on a timely basis and guide investors to make decisions instantly which leads to information asymmetry This study is aimed toward an analysis of the entire stock return performance period under changes in the TCRI to test whether non-timely periodic information relates to financial markets Further we utilize the monitoring indicator from the Business Indicators DataBase to test whether changes in the TCRI are associated with the business cycle In addition we document the mixed effect of ratings change and changes in prosperity Finally we create a few sub-samples to do further analysis and also conduct a robustness test
獎項日期2016 7月 12
監督員Shao-Huai Liang (Supervisor)