Credit ratings are one of the important implications that affect the investors’ behavior in stock markets. We explore the stock reactions to the announcements of credit rating changes from the aspect of returns and trading volume. According to our empirical studies, we find that as S&P announced credit rating upgrading, significant positive cumulative abnormal returns exist in event period, and downgrading with significant negative cumulative abnormal returns. In the trading volume dimension, cumulative abnormal trading volume is statistically significant to both credit rating upgrading and downgrading stocks. Further, we examine the direction of the trading on the day of the credit rating change announcements. The results indicate that the order imbalance is positive significant to upgrading stocks and negative significant to downgrading stocks. We infer that investors are confident of credit rating upgrading stocks and willing to buy more shares that bring about positive abnormal returns; on the other hand, they inclined to sell more shares of credit rating downgrading stocks that cause negative abnormal returns.

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