The Impact of Rating Announcement in Indonesia Stock Market
This study analyses the impact of corporate bond rating announcement on common’s stock price in the Indonesia stock market. Rating changes assigned by Fitch, Moody’s, Standard and Poor’s and PEFINDO are analysed. On the weak-form efficient market of Indonesia stock market, rating reclassification wi...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/47414/ |
| _version_ | 1848797540873404416 |
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| author | Pratama, Anzas Rustamaji |
| author_facet | Pratama, Anzas Rustamaji |
| author_sort | Pratama, Anzas Rustamaji |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study analyses the impact of corporate bond rating announcement on common’s stock price in the Indonesia stock market. Rating changes assigned by Fitch, Moody’s, Standard and Poor’s and PEFINDO are analysed. On the weak-form efficient market of Indonesia stock market, rating reclassification will have an impact for stockholder if the new rating contains new information or if there is redistribution of wealth within bondholder and stockholder. This study uses single market model as return-generating process and OLS regression to estimate parameter in single market model. Rating event categorized into rating downgrade, negative watchlist, rating upgrade and positive watchlist. This study finds that rating downgrade and negative watchlist consider as a good news for stockholder. Meanwhile, rating upgrade and positive watchlist is a bad news for stockholder. This result supports the theory that rating change associated with wealth redistribution. This study also finds that rating change associated with company size and grade of investment, have different magnitude of stock reaction. Meanwhile, result from rating event based on rating agency do not have systemic pattern, which is need for further study. |
| first_indexed | 2025-11-14T20:05:30Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-47414 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:05:30Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-474142018-04-24T14:46:29Z https://eprints.nottingham.ac.uk/47414/ The Impact of Rating Announcement in Indonesia Stock Market Pratama, Anzas Rustamaji This study analyses the impact of corporate bond rating announcement on common’s stock price in the Indonesia stock market. Rating changes assigned by Fitch, Moody’s, Standard and Poor’s and PEFINDO are analysed. On the weak-form efficient market of Indonesia stock market, rating reclassification will have an impact for stockholder if the new rating contains new information or if there is redistribution of wealth within bondholder and stockholder. This study uses single market model as return-generating process and OLS regression to estimate parameter in single market model. Rating event categorized into rating downgrade, negative watchlist, rating upgrade and positive watchlist. This study finds that rating downgrade and negative watchlist consider as a good news for stockholder. Meanwhile, rating upgrade and positive watchlist is a bad news for stockholder. This result supports the theory that rating change associated with wealth redistribution. This study also finds that rating change associated with company size and grade of investment, have different magnitude of stock reaction. Meanwhile, result from rating event based on rating agency do not have systemic pattern, which is need for further study. 2017-10-20 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/47414/1/The%20impact%20of%20rating%20announcement%20in%20Indonesia%20stock%20market.pdf Pratama, Anzas Rustamaji (2017) The Impact of Rating Announcement in Indonesia Stock Market. [Dissertation (University of Nottingham only)] credit rating agencies rating announcement credit watch list event study stock return |
| spellingShingle | credit rating agencies rating announcement credit watch list event study stock return Pratama, Anzas Rustamaji The Impact of Rating Announcement in Indonesia Stock Market |
| title | The Impact of Rating Announcement in Indonesia Stock Market |
| title_full | The Impact of Rating Announcement in Indonesia Stock Market |
| title_fullStr | The Impact of Rating Announcement in Indonesia Stock Market |
| title_full_unstemmed | The Impact of Rating Announcement in Indonesia Stock Market |
| title_short | The Impact of Rating Announcement in Indonesia Stock Market |
| title_sort | impact of rating announcement in indonesia stock market |
| topic | credit rating agencies rating announcement credit watch list event study stock return |
| url | https://eprints.nottingham.ac.uk/47414/ |