IDEAS home Printed from https://ideas.repec.org/a/ids/ijbema/v15y2023i1p53-79.html
   My bibliography  Save this article

Effects of credit rating announcements on risk perception of financial markets in emerging countries

Author

Listed:
  • Umut Burak Geyikci

Abstract

This study measured the reactions of five different financial instruments used in credit rating agencies' (CRAs) announcements using the event study method with 19 years of daily data from 21 emerging countries. It also analysed the reactions of these financial instruments to upgrading and downgrading investment grades. This has not been frequently discussed in the previous literature. There were three key findings: 1) credit default swaps (CDSs), stock markets, 1-year, and 10-year government bonds reacted significantly to CRA announcements while Eurobonds did not; 2) while 1-year bonds and 5-year CDSs reacted significantly only to degradation to non-investment grade, 10-year bonds and stock indices reacted significantly to both gradation and degradation but Eurobonds did not react significantly to either; 3) there were significant reactions to CRA announcements before degradation to non-investment grade, indicating that degradations are predicted by the market prior to their announcement.

Suggested Citation

  • Umut Burak Geyikci, 2023. "Effects of credit rating announcements on risk perception of financial markets in emerging countries," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 15(1), pages 53-79.
    • Handle: RePEc:ids:ijbema:v:15:y:2023:i:1:p:53-79
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=128161
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbema:v:15:y:2023:i:1:p:53-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=249 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.