Stock Market Responses to Sovereign Rating Revisions – The Indian Experience

Kumar Sss

Paradigm, 2001, vol. 5, issue 1, 46-52

Abstract: In recent years response of stock prices to major economic announcements has received considerable academic attention. This study aims at examining the response of the stock market to revisions in India's sovereign credit rating announcements by employing the ‘event study methodology’. The credit rating announcements by S&P are considered and we compute the abnormal returns around the dates on credit rating revision announcements and test for their statistical significance. The statistically significant abnormal returns are ascribed to the event in the absence of any significant event, which might be expected to influence the market. The results from the statistical analysis indicate that the excess returns are not statistically significant implying there are no abnormal returns following the announcements. It can be concluded that the stock market is not considering the ‘information’ about sovereign rating as relevant in pricing the securities.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:5:y:2001:i:1:p:46-52

DOI: 10.1177/0971890720010106

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