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Equity and debt market responses to sovereign credit ratings announcement

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  • Pukthuanthong-Le, Kuntara
  • Elayan, Fayez A.
  • Rose, Lawrence C.

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  • Pukthuanthong-Le, Kuntara & Elayan, Fayez A. & Rose, Lawrence C., 2007. "Equity and debt market responses to sovereign credit ratings announcement," Global Finance Journal, Elsevier, vol. 18(1), pages 47-83.
  • Handle: RePEc:eee:glofin:v:18:y:2007:i:1:p:47-83
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    1. Graciela Kaminsky & Sergio L. Schmukler, 2002. "Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?," World Bank Economic Review, World Bank Group, vol. 16(2), pages 171-195, August.
    2. Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. " The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-752, June.
    3. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
    4. La Porta, Rafael & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert W. Vishny, 1997. " Legal Determinants of External Finance," Journal of Finance, American Finance Association, vol. 52(3), pages 1131-1150, July.
    5. La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei & Vishny, Robert, 1999. "The Quality of Government," Journal of Law, Economics, and Organization, Oxford University Press, vol. 15(1), pages 222-279, April.
    6. International Monetary Fund, 1998. "The Relative Importance of Political and Economic Variables in Creditworthiness Ratings," IMF Working Papers 98/46, International Monetary Fund.
    7. Bulow, Jeremy & Rogoff, Kenneth, 1989. "Sovereign Debt: Is to Forgive to Forget?," American Economic Review, American Economic Association, vol. 79(1), pages 43-50, March.
    8. Goh, Jeremy C & Ederington, Louis H, 1993. " Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?," Journal of Finance, American Finance Association, vol. 48(5), pages 2001-2008, December.
    9. Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert W. Vishny, 1998. "Law and Finance," Journal of Political Economy, University of Chicago Press, vol. 106(6), pages 1113-1155, December.
    10. Bikhchandani, Sushil & Hirshleifer, David & Welch, Ivo, 1992. "A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades," Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 992-1026, October.
    11. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    12. Guillermo Larraín & Helmut Reisen & Julia von Maltzan, 1997. "Emerging Market Risk and Sovereign Credit Ratings," OECD Development Centre Working Papers 124, OECD Publishing.
    13. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    14. Richard Cantor & Frank Packer, 1995. "Sovereign credit ratings," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 1(Jun).
    15. Henry, Peter Blair, 2000. "Do stock market liberalizations cause investment booms?," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 301-334.
    16. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    17. repec:hrv:faseco:30728041 is not listed on IDEAS
    18. Mookerjee, Rajen & Yu, Qiao, 1997. "Macroeconomic variables and stock prices in a small open economy: The case of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 377-388, July.
    19. Schipper, Katherine & Smith, Abbie, 1983. "Effects of recontracting on shareholder wealth : The case of voluntary spin-offs," Journal of Financial Economics, Elsevier, vol. 12(4), pages 437-467, December.
    20. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    21. John Doukas, 1989. "Syndicated Euro-Credit Sovereign Risk Assessments, Market Efficiency and Contagion Effects," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 20(2), pages 255-267, June.
    22. Gande, Amar & Parsley, David C., 2005. "News spillovers in the sovereign debt market," Journal of Financial Economics, Elsevier, vol. 75(3), pages 691-734, March.
    23. Reisen, Helmut & von Maltzan, Julia, 1999. "Boom and Bust and Sovereign Ratings," International Finance, Wiley Blackwell, vol. 2(2), pages 273-293, July.
    24. Steven Radelet & Jeffrey Sachs, 1998. "The Onset of the East Asian Financial Crisis," NBER Working Papers 6680, National Bureau of Economic Research, Inc.
    25. Antonio Afonso, 2003. "Understanding the determinants of sovereign debt ratings: Evidence for the two leading agencies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 56-74, March.
    26. Hardouvelis, Gikas A., 1987. "Macroeconomic information and stock prices," Journal of Economics and Business, Elsevier, vol. 39(2), pages 131-140, May.
    27. Anthony J. Richards & David Deddouche, 1999. "Bank Rating Changes and Bank Stock Returns—Puzzling Evidence from the Emerging Markets," IMF Working Papers 99/151, International Monetary Fund.
    28. Mora, Nada, 2006. "Sovereign credit ratings: Guilty beyond reasonable doubt?," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2041-2062, July.
    29. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    30. repec:hrv:faseco:30747160 is not listed on IDEAS
    31. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
    32. Aktas, Nihat & de Bodt, Eric & Roll, Richard, 2004. "Market Response to European Regulation of Business Combinations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 731-757, December.
    33. Linn, Scott C. & McConnell, John J., 1983. "An empirical investigation of the impact of `antitakeover' amendments on common stock prices," Journal of Financial Economics, Elsevier, vol. 11(1-4), pages 361-399, April.
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    Cited by:

    1. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2015. "Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 179-193.
    2. Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling, 2013. "How do sovereign credit rating changes affect private investment?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4820-4833.
    3. Sánchez, Elmer, 2013. "Grado de inversión y flujos de inversión directa extranjera a economías emergentes," Working Papers 2013-010, Banco Central de Reserva del Perú.
    4. Rachel Christopher & Suk-Joong Kim & Eliza Wu, 2018. "Do Sovereign Credit Ratings Influence Regional Stock and Bond Market Interdependencies in Emerging Countries?," World Scientific Book Chapters,in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 15, pages 517-546 World Scientific Publishing Co. Pte. Ltd..
    5. Rashid Ameer, 2007. "What Moves the Primary Stock and Bond Markets? Influence of Macroeconomic Factors on Bond and Equity Issues in Malaysia and Korea," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 3(1), pages 93-116.
    6. María Concepción Verona Martel & José Juan Déniz Mayor, 2011. "Las agencias de rating y la crisis fi nanciera de 2008: ¿El fi n de un poder sin control?," REVISTA CRITERIO LIBRE, UNIVERSIDAD LIBRE - SEDE PRINCIPAL, June.
    7. Burhan Kabadayi & Ahmet Alkan Çelik, 2015. "Determinants of Sovereign Ratings in Emerging Countries: A Qualitative, Dependent Variable Panel Data Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 656-662.
    8. Mehmet Balcilar & Deven Bathia & Riza Demirer & Rangan Gupta, 2017. "Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers 201719, University of Pretoria, Department of Economics.
    9. Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016. "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, vol. 40(4), pages 552-567.
    10. Alsakka, Rasha & ap Gwilym, Owain, 2012. "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 45-55.
    11. Anna Gibert, 2016. "The Signaling Role of Fiscal Austerity," Discussion Papers of DIW Berlin 1623, DIW Berlin, German Institute for Economic Research.
    12. Asta Klimaviciene, 2011. "Sovereign Credit Rating Announcements and Baltic Stock Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 2(1).
    13. repec:hur:ijaraf:v:7:y:2017:i:4:p:146-159 is not listed on IDEAS
    14. Sánchez, Elmer, 2013. "Grado de inversión y flujos de inversión directa extranjera a economías emergentes," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 61-79.
    15. Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.

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