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An Empirical Study of International Spillover of Sovereign Risk to Bank Credit Risk

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  • Winnie P. H. Poon
  • Jianfu Shen
  • John E. Burnett

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  • Winnie P. H. Poon & Jianfu Shen & John E. Burnett, 2017. "An Empirical Study of International Spillover of Sovereign Risk to Bank Credit Risk," The Financial Review, Eastern Finance Association, vol. 52(2), pages 281-302, May.
    • Handle: RePEc:bla:finrev:v:52:y:2017:i:2:p:281-302
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    File URL: http://hdl.handle.net/10.1111/fire.2017.52.issue-2
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    Cited by:

    1. Hu, Haoshen & Prokop, Jörg & Trautwein, Hans-Michael, 2022. "Transnational spillover effects of European sovereign rating signals on bank stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 171-182.
    2. Wai Choi Lee & Jianfu Shen & Tsun Se Cheong & Michal Wojewodzki, 2021. "Detecting conflicts of interest in credit rating changes: a distribution dynamics approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-23, December.
    3. Hu, Haoshen & Prokop, Jörg & Shi, Yukun & Trautwein, Hans-Michael, 2020. "The rating spillover from banks to sovereigns: An empirical investigation across the European Union," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    4. Schertler, Andrea & Moch, Nils, 2021. "Bank foreign assets, government support and international spillover effects of sovereign rating events on bank stock prices," Journal of Banking & Finance, Elsevier, vol. 130(C).

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