Does institutional environment influence the role, strategy and impact of Credit Rating Agencies?: Application to China and comparative elements with Europe

Abstract : In this Ph.D. thesis, we aim to contribute to the entire research on CRAs, with theoretical, conceptual and empirical aspects. We used the New-institutionalism as a theoretical frame of reference to justify the importance to have a good understanding of Chinese institutional characteristics. Chinese State-capitalism and Socialist-market economics, along with the interaction of CRAs with regulators, issuers and investors are devoted to setting the stage. We implemented various methodological approaches that seemed the most appropriate, on the sample that the most suitable, according to each of the objectives that we set, to better comprehend CRAs’ role, strategy and impact, under Chinese market context.Firstly, we found that CRAs were not expected to play “their main role” in assessing the credit default risk for market investment in China, as they are usually assigned to do so in Europe, and other developed countries. After running the frequency test, to register the words most used in the written regulatory and normative documents, we concluded that the expectation of roles of CRAs was also different in Continental China and in Hong Kong. At the expectation of issuers, CRAs also seem to play a role in rating “shopping”, in split rating, and even in rating inflation. Investors are very cautious to the multiple ratings. Secondly, by using logistic models, we found that global CRAs tend to rate more strictly than local CRAs, ceteris paribus. We also realized that the strategical behaviors of Chinese local CRAs are distinctive one from the other, when we studied the determinants “behind” initial issuer ratings. These findings confirmed the preliminary quantitative tests that we executed on the descriptive data. Thirdly, we failed to find informative impact of credit rating changes on the stock market, through a classic event study relying on the market model. Even if we refined the methodology by completing GARCH to OLS estimation model, and non-parametric tests to parametric tests, we only found significant outcomes in some subsamples, and for negative watch-lists.In the end, the analyses we led and the findings we reported from each of these empirical chapters have contributed to enrich, in return, our discussion of Chinese institutional characteristics
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Theses
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http://docnum.univ-lorraine.fr/ulprive/DDOC_T_2018_0196_TONG.pdf
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https://hal.univ-lorraine.fr/tel-02073030
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Submitted on : Tuesday, March 19, 2019 - 3:35:48 PM
Last modification on : Wednesday, March 20, 2019 - 1:23:46 AM

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  • HAL Id : tel-02073030, version 1

Citation

Xuheng Tong. Does institutional environment influence the role, strategy and impact of Credit Rating Agencies?: Application to China and comparative elements with Europe. Business administration. Université de Lorraine, 2018. English. ⟨NNT : 2018LORR0196⟩. ⟨tel-02073030⟩

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