The effects of credit rating announcements on share prices listed on the bist bank index

It is crucial to determine whether the world's leading credit rating agencies’ (Moody's, S & P's and Fitch's) credit notes affect the stock prices or not, for market participants. At this point, the main purpose of this research is to detect the effect of mentioned agencies' Credit Rating Announcements, occoured last five years (2009-2014),on share prices of companies listed on the BIST Bank Index by employing event study methodology. In that context, the effects of upgrade and downgrade notes are taken into account separately. In the basic logic of the event study, while "Event Window" is determined by announcement date basis '-15, +15', the "Estimation Period" is shaped on -15, -135' days before announcement. According to analysis, statistically significant effects are figured, which means that an anomaly is present under the impact of credit rating announcements. Therefore, it can be expressed that the market participants have the opportunity of generating abnormal return by benefiting from the public announcements.