TY - JOUR
T1 - Rating spillover effects on the stock markets
AU - Bissoondoyal-Bheenick, E.
AU - Brooks, R.D.
AU - Treepongkaruna, Sirimon
PY - 2014
Y1 - 2014
N2 - This paper studies the impact of a sovereign rating change of a particular country on the stock markets of those countries to which it is closely related in individual pairs. We equally test the impact of other countries rating changes on the stock market of one particular country using a sample of ten countries for the period January 1989 to December 2010. While, there is a pre-announcement case for upgrades and post announcement case for downgrades, we find that collectively as a group the countries may potentially have a spillover effect, while on an individual basis, it does not appear to be the case. © 2014 Elsevier B.V.
AB - This paper studies the impact of a sovereign rating change of a particular country on the stock markets of those countries to which it is closely related in individual pairs. We equally test the impact of other countries rating changes on the stock market of one particular country using a sample of ten countries for the period January 1989 to December 2010. While, there is a pre-announcement case for upgrades and post announcement case for downgrades, we find that collectively as a group the countries may potentially have a spillover effect, while on an individual basis, it does not appear to be the case. © 2014 Elsevier B.V.
U2 - 10.1016/j.mulfin.2014.06.005
DO - 10.1016/j.mulfin.2014.06.005
M3 - Article
VL - 25-26
SP - 51
EP - 63
JO - Journal of Multinational Financial Management
JF - Journal of Multinational Financial Management
SN - 1042-444X
ER -