Rating-Meldungen europäischer Staaten und Werteffekte bei US-Banken: Eine Note zur Interdependenz globaler Kapitalmärkte
In the course of the European sovereign debt crisis, the question has arisen as to whether the soundness of the US banking and financial system could be harmed by contagion effects. Considering the numerous downgradings of European countries in recent years, the current paper examines price effects of sovereign rating announcements on US banks. We find significantly negative abnormal returns following negative rating announcements. The effects are particularly strong for large US banks with high exposure to struggling European countries, such as Greece and Spain. On the contrary, positive rating announcements do not cause notable share price effects. Thus, the results provide evidence that the effects of the debt crisis are not solely limited to Europe. Instead, bailout packages for highly indebted European countries may also support financial systems in countries from other continents.
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