Stock Market Reactions to Sovereign Credit Rating Changes: Evidence from Four European Countries
AbstractWe analyze the reactions of the returns of four European stock markets to sovereign credit rating changes by Fitch, Moody’s, and Standard and Poor’s (S&P) during the period from June 2008 to June 2012 using panel regression equations. We find that (i) upgrades and downgrades affect both own country returns and other countries’ returns, (ii) market reactions to foreign downgrades are stronger during the sovereign debt crisis period, and (iii) negative news from rating agencies are more informative than positive news.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-111.
Length: 6 pages
Date of creation: 25 Feb 2014
Date of revision:
Sovereign credit rating; Stock Markets; reaction; upgrades; downgrades;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-CFN-2014-03-08 (Corporate Finance)
- NEP-EUR-2014-03-08 (Microeconomic European Issues)
- NEP-FMK-2014-03-08 (Financial Markets)
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