Recently, many studies on the factors affecting the stock market have been carried out in Vietnam,
but there is a lack of research on credit rating information. This study aims to examine the reaction
of the Vietnamese stock market to credit rating changes. The research is conducted based on the
efficient market hypothesis, asymmetric information theory, and behavioral finance theory. The
event study method is used to examine the change in stock return of market indexes (VN-Index and
HNX) and industry indexes of 24 industries at the time of disclosure and 20 sessions before and
after the announcement. At the same time, the study examines the announcement events of credit
rating changes in the period from January 3, 2012 to September 12, 2018. The T-test results
demonstrate that stock prices have a significant difference when credit rating information is
published. This shows that the Vietnamese stock market is not efficient, stock prices traded on the
market have not yet fully reflected the information published on the market. The results of this
study are empirical evidence that reinforces the conclusions of previous studies on the
underperforming stock market in Vietnam. When increasing credit ratings, most of the industry
indexes reacted in the 5th session or later. Moreover, when the credit rating was downgraded, the
market reacted more slowly, and the stock return of most indexes changed from the 14th session
onwards. However, the stock market reaction was very diverse when the credit rating remained
unchanged. Research indicates profitable opportunities for investors who know how to capture
information and have good analytical techniques. At the same time, information transparency needs
to be improved and the herd effect needs to be reduced to improve market efficiency.