信用评级变化对股票价格的影响：
以中国股票市场为例
The Impact of Credit Rating Changes on Stock Price:
Evidence from the Chinese Stock Market：
王舒宣
指导教师姓名: 牛霖琳 助理教授
袁宇菲 助理教授
郭晔 副教授
专 业 名 称： 金融学
摘要
信用风险可以被定义为交易对方不能履行契约义务造成经济损失的风险。它的影响是由对方违约的重置成本来衡量的。信用风险评级主要由信用评级机构来完成。信用评级机构和市场的形成起源于20 世纪初对美国铁路债券的评级，现在这些机构的信用评级对象已经发展到各种企业、个人甚至国家。数以百万计的投资者依赖于他们、客观的评级以做出合理的资产投资选择。根据巴塞尔协议II，信用评级是测量信用风险的主要指标。公司债券所获得的信用评级不同，就会有不同的债券价格和经济资本权重，从而影响公司的
融资和经营状况。正因为如此，对信用评级作用的研究具有重要的理论和现实意义，也已经成为当前学术界关注的热点之一。
目前，对信用评级作用的研究主要分为对债券本身和对相对应股票影响的
研究。由于和股票交易相比，债券交易不频繁，并且数据难以获得，因此文献
中更倾向于研究评级变化对股票价格的影响 (Holthausen 和 Leftwich, 1986)[28]。
在中国的证券市场上，信用评级正发挥着越来越重要的作用，然而在对信用评级效应的实证研究方面仍旧是空白。本文以债券信用评级变化对股票价格的影响为切入点，运用中国股票市场的日度数据和日内数据，着重检验信息内容假说(Information Content Hypothesis) 和财富再分配假说(Wealth RedistributionHypothesis) 在中国股票市场的实证效果。进一步地，根据股票收益及波动率对国内信用评级机构和国际信用评级机构评级变化的不同反应，研究两类评级机构的信用评级变化对股票市场影响的差异。
本文首先利用事件分析法分析债券评级变化对中国股票市场股票收益的影响，发现债券评级下调对股票收益有显著的负面影响，而评级上调对股票收益
的作用并不明显。其中，国内信用评级机构的评级变化比国际评级机构的评级
变化对股票收益的影响更大。继而，选取已实现波动率 (Realized Volatility) 为衡量股价波动率的指标，对82 支股票的信用评级变化进行事件分析，发现国内及国际信用评级机构的信用评级下调均会导致股票波动率上升，而国内评级机构和国际评级机构的评级上调对股票波动率的影响却不一致。
关键词： 信用评级； 股票价格； 已实现波动率
Abstract
Credit risk can be defined as the potential economic loss due to counterparty’s failures to meet its contractual obligation. Its effect can be measured by the reset cost of default. Credit rating agencies emerged in the early 20th century for the US railroad investment and now they issue a variety of ratings covering corporate bonds, individuals and even sovereign credits. Millions of investors rely on their independent
and objective ratings to make investment decisions. According to Basel Accord II,credit rating is a key indicator for credit risk and companies with different credit ratings get different prices and economic capital weights. Therefore, the impact of credit rating changes is important both theoretically and practically.
The influences of credit rating changes are divided into the influences on bonds and the related stocks. As the data is easier to get in stock market, literatures mainly focus on the impact of credit rating on stock market (Holthausen & Leftwich, 1986)[28].
In China’s security markets, credit rating is playing an increasingly important role. However, the empirical research of impact of credit rating is still a blank area. This paper fills the gap by using daily data and intraday data to test the InformationContent Hypothesis and Wealth Redistribution Hypothesis.
This paper utilizes the event study method and finds that credit rating downgrades have negative impact on stock returns. In contrast, the impact of credit rating upgrades is insignificant. Furthermore, credit rating changes from domestic credit rating agencies have larger impact on stock returns than changes from international rating agencies. Event study on realized volatility shows that credit rating downgrades of all credit rating agencies have a significant positive impact on the volatility of related stocks. However, upgrades from domestic and international rating agencies have different impact on stock volatility.
Key Words: Credit rating; Stock price; Realized volatility.
