Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, E, Brooks, R, Hum, S and Treepongkaruna, S 2011, 'Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis', Applied Financial Economics, vol. 21, no. 13, pp. 997-1003.


Document type: Journal Article
Collection: Journal Articles

Title Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis
Author(s) Bissoondoyal-Bheenick, E
Brooks, R
Hum, S
Treepongkaruna, S
Year 2011
Journal name Applied Financial Economics
Volume number 21
Issue number 13
Start page 997
End page 1003
Total pages 7
Publisher Routledge
Abstract This article explores the impacts of sovereign rating changes by multiple rating agencies on foreign exchange rate volatility during the Asian crisis. We extend the existing literature to explore the impacts of multiple agency sovereign rating changes on the realized volatility of foreign exchange markets. Our findings show that the rating downgrades are associated with increases in foreign exchange volatility, and that multiple downgrades lead to a much higher increase in volatility as compared to single downgrades. Our results demonstrate that rating downgrades are part of the important news for the national markets consistent with the analysis of contagion analysis in Baur and Fry (2006, 2009).
Subject Finance
Keyword(s) Foreign
Realized volatility
Sovereign rating changes
DOI - identifier 10.1080/09603107.2011.554367
Copyright notice © 2011 Taylor & Francis.
ISSN 0960-3107
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