ผลกระทบของการประกาศเปลี่ยนแปลงอันดับความน่าเชื่อถือต่อผลตอบแทนของหลักทรัพย์ในหมวดธุรกิจธนาคารของตลาดหลักทรัพย์ในกลุ่มอาเซียน

Abstract

This study aims to examine the impact of the credit rating announcement of banks in developing markets within the ASEAN Plus Three region on the stock returns, particularly focusing on stock within the financial industry, especially banking stocks. This is because bank stocks are considered large-cap stocks with a significant Market Cap. They also provide regular dividend payments, making them reliable and consistent stocks in terms of generating returns. Consequently, when factors affect bank stocks, the impact often extends to stocks in other industries as well. The credit rating announcement serves as an analytical tool for evaluating the overall picture of a bank, as assigned by rating agencies. The credit rating should correspond to the returns. If a rating agency announces an increased credit rating, the stock returns should be affected, influencing the investment decisions of investors in a positive manner. Conversely, if the credit rating decreases, the returns on the stock should also decline. In this study, the efficient market hypothesis will be employed, specifically the semi-strong form market efficiency, following Fama's theory of capital market efficiency. The event study approach will be utilized, focusing on abnormal returns and calculating the Cumulative Abnormal Return to analyze the abnormal return factors. From the study results, it was found that if we separate the analysis into increasing and decreasing trends of the credibility ranking of banks in the ASEAN Plus Three group, the increase in credit rating does not have abnormal cumulative returns before, during, and after the ranking changes. However, it was found that the period of announcement of a decrease in credit rating of banks resulted in significant abnormal returns. Furthermore, based on this research, if there are changes in credit rating by dividing the countries into developing and developed countries and considering all countries together, including both decreasing and increasing ranking events, it will lead to significant abnormal returns in the period before the announcement of credit rating from -60 to -1. This indicates that investors already have advance predictions because there is information available beforehand, such as the financial statements of the banks. Generally, companies often use such data to complement the credibility ranking of bank