Rating spillover effects on the stock markets

Bissoondoyal-Bheenick, E, Brooks, R and Treepongkaruna, S 2014, 'Rating spillover effects on the stock markets', Journal of Multinational Financial Management, vol. 2526, pp. 51-63.


Document type: Journal Article
Collection: Journal Articles

Title Rating spillover effects on the stock markets
Author(s) Bissoondoyal-Bheenick, E
Brooks, R
Treepongkaruna, S
Year 2014
Journal name Journal of Multinational Financial Management
Volume number 2526
Start page 51
End page 63
Total pages 13
Publisher Elsevier BV
Abstract 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.
Subject Finance
Keyword(s) Rating agencies
Spillover
Standard and Poor's
DOI - identifier 10.1016/j.mulfin.2014.06.005
Copyright notice © 2014 Elsevier B.V. All rights reserved.
ISSN 1042-444X
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