A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries
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DOI: 10.1016/j.intfin.2013.07.013
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- Williams, Gwion & Alsakka, Rasha & ap Gwilym, Owain, 2015. "Does sovereign creditworthiness affect bank valuations in emerging markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 113-129.
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More about this item
Keywords
Country risk ratings; Asymmetry; Multivariate MTAR model; Convergence;All these keywords.
JEL classification:
- F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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