An Empirical Analysis of the Effects of Market Response to Bank Loan Announcements in Hong Kong Stock Market

Journal of Banking Regulation, Vol. 12, p. 210–226, 2011

Posted: 3 Feb 2017

See all articles by Carol Qing

Carol Qing

New Zealand College of Business

Christopher Gan

Lincoln University (NZ)

Zhaohua Li

Lincoln University (NZ) - Commerce

Date Written: 2011

Abstract

This research extends the study of Boscaljon and Ho and test the effect of market response to bank loan announcement in the Hong Kong banking market after the 1997 Asian crisis. The study also investigates whether bank is still ‘special’ in the financial market by comparing the market response to bank loan announcement and non-bank loan announcement. Finally, the study examines how loan characteristics influence the market response to bank loan announcement. The main findings of our study are consistent with the previous results documented for the US, Canada and Hong Kong markets, and further confirm the ‘uniqueness’ of banks in the financial market. Moreover, we find that market response is significant positively related to borrower’s debt ratio, and there is also a strong evidence of information leakage problem for non-bank loan announcements in the Hong Kong stock market.

Keywords: Bank Loan Announcements; Abnormal Returns; Information Asymmetry; Event Studies

Suggested Citation

Qing, Carol and Gan, Christopher and Li, Zhaohua, An Empirical Analysis of the Effects of Market Response to Bank Loan Announcements in Hong Kong Stock Market (2011). Journal of Banking Regulation, Vol. 12, p. 210–226, 2011, Available at SSRN: https://ssrn.com/abstract=2907580

Carol Qing

New Zealand College of Business ( email )

15 Bishopdale Ct
Christchurch, Bishopdale 8053
New Zealand

Christopher Gan

Lincoln University (NZ) ( email )

PO Box 85084
Ellesmere Junction Road/Springs Road
Lincoln, 7647
New Zealand

Zhaohua Li (Contact Author)

Lincoln University (NZ) - Commerce ( email )

Faculty of Agribusiness and Commerce
Lincoln University
Lincoln, Canterbury 7647
New Zealand

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