Reactions of stock returns to Moody's bond rating changes: An event study on the stock market efficiency in Southeast Asian emerging markets: Thailand, Indonesia and Philippines

Date of Publication

2012

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Junette A. Perez

Defense Panel Member

Rogelio Sy Siong Kiao

Jose Mari Lacson

Christian Nero Porlas

Abstract/Summary

Conventional wisdom has given us the idea that markets are efficient as security prices and returns reflect all relevant information hence the efficient market hypothesis. However, recent studies on market efficiency show the contrary. Studies by Hand, et al. (1992), Taib, et al. (2006) and Micu, et al. (2006), found that when event such as rating changes occur, it results to abnormal return. Moreover, this study reveals that stock market reacts significantly to such changes, which means that it contains information that are not reflected in the prices (and returns). Along with this finding, our research examined how an emerging economy's stock market reacts to rating changes through event study.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21682

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

72 leaves : illustrations ; 28 cm.

Keywords

Stock exchanges--Asia, Southeastern

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