Do sovereign rating changes trigger spillover effects?

Bissoondoyal-Bheenick, E 2012, 'Do sovereign rating changes trigger spillover effects?', Research in International Business and Finance, vol. 26, no. 1, pp. 79-96.


Document type: Journal Article
Collection: Journal Articles

Title Do sovereign rating changes trigger spillover effects?
Author(s) Bissoondoyal-Bheenick, E
Year 2012
Journal name Research in International Business and Finance
Volume number 26
Issue number 1
Start page 79
End page 96
Total pages 18
Publisher Elsevier
Abstract This paper examines whether changes in a particular country's sovereign ratings provided by Standard and Poor's and Moody's trigger a spillover effect on other countries. The analysis focuses on two sets of countries namely where there are trade links between the countries and where there are links between the financial markets of each country. The findings indicate that there are more significant results when the links in financial markets are analysed compared to trade links. Moreover, the results are dependent on which rating is under analysis, that is, Standard and Poor's Local Currency, Standard and Poor's Foreign Currency, Moody's Bank Deposit or Moody's bonds and notes. Finally, there does appear to be a contamination effect for both upgrades and downgrades among the countries.
Subject Finance
Keyword(s) Sovereign ratings changes
Spillover effects
Event study
Standard and Poors
Moodys
DOI - identifier 10.1016/j.ribaf.2011.07.001
Copyright notice © 2011 Elsevier B.V.
ISSN 0275-5319
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