Credit ratings and stock markets : an event-study approach
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/23262 |
Resumo: | The impact of sovereign credit downgrades on financial markets was deeply scrutinized on the aftermath of the 2008 financial crisis, especially in Southern Europe. The purpose of this thesis is to analyze the impact of sovereign credit rating downgrades both on National and Foreign stock markets through an Event-Study methodology. The main focus is the impact generated by S&P and Moody’s downgrades on market indexes from advanced economies throughout the world. This approach was taken to compare the impact felt by the downgraded countries with the impact on other countries belonging to that same region. Even though I find little evidence of national impact outside Europe, where the abnormal returns range from -0,03% to -0,2% on the event date, my analysis suggests that there is evidence of spillover effects throughout the developed world, as one of the models used finds significant negative abnormal returns on the event date in 2 out of the 3 estimation windows considered, the third being marginally insignificant. Regardless of the model the spillover creates abnormal returns that go from 0% to -0,4%. |
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Credit ratings and stock markets : an event-study approachDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe impact of sovereign credit downgrades on financial markets was deeply scrutinized on the aftermath of the 2008 financial crisis, especially in Southern Europe. The purpose of this thesis is to analyze the impact of sovereign credit rating downgrades both on National and Foreign stock markets through an Event-Study methodology. The main focus is the impact generated by S&P and Moody’s downgrades on market indexes from advanced economies throughout the world. This approach was taken to compare the impact felt by the downgraded countries with the impact on other countries belonging to that same region. Even though I find little evidence of national impact outside Europe, where the abnormal returns range from -0,03% to -0,2% on the event date, my analysis suggests that there is evidence of spillover effects throughout the developed world, as one of the models used finds significant negative abnormal returns on the event date in 2 out of the 3 estimation windows considered, the third being marginally insignificant. Regardless of the model the spillover creates abnormal returns that go from 0% to -0,4%.O impacto dos downgrades da dívida soberana nos mercados financeiros foi profundamente escrutinado depois da crise de 2008, especialmente no Sul da Europa. O propósito desta tese é analisar o impacto do downgrade do rating da dívida soberana nos mercados de acções nacionais e internacionais através da metodologia Event-Study. O foco principal é o impacto gerado por downgrades da S&P e da Moody’s nos índices de mercado de várias economias desenvolvidas. Esta abordagem foi seguida de modo a comparar o impacto sentido pelos países que sofreram um downgrade com o impacto gerado noutros países da região. Ainda que encontre poucas evidências de um impacto nacional fora da Europa, onde os retornos anormais variam entre -0,03% e -0,2% no dia do evento, a minha análise sugere que existem evidências de efeitos de spillover nas várias economias analisadas, dado que um dos modelos usados encontrou retornos anormais significantes em 2 das 3 janelas usadas, sendo que a 3ª foi marginalmente insignificante. Ignorando os modelos usados, os retornos anormais no dia do evento variam entre 0% e -0,4%.Rime, DagfinnVeritati - Repositório Institucional da Universidade Católica PortuguesaTrovão, Tomás Ferraz Leal2017-10-27T10:56:25Z2017-10-1820172017-10-18T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/23262TID:201748967enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:29:19Zoai:repositorio.ucp.pt:10400.14/23262Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:19:10.084452Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Credit ratings and stock markets : an event-study approach |
title |
Credit ratings and stock markets : an event-study approach |
spellingShingle |
Credit ratings and stock markets : an event-study approach Trovão, Tomás Ferraz Leal Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Credit ratings and stock markets : an event-study approach |
title_full |
Credit ratings and stock markets : an event-study approach |
title_fullStr |
Credit ratings and stock markets : an event-study approach |
title_full_unstemmed |
Credit ratings and stock markets : an event-study approach |
title_sort |
Credit ratings and stock markets : an event-study approach |
author |
Trovão, Tomás Ferraz Leal |
author_facet |
Trovão, Tomás Ferraz Leal |
author_role |
author |
dc.contributor.none.fl_str_mv |
Rime, Dagfinn Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Trovão, Tomás Ferraz Leal |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The impact of sovereign credit downgrades on financial markets was deeply scrutinized on the aftermath of the 2008 financial crisis, especially in Southern Europe. The purpose of this thesis is to analyze the impact of sovereign credit rating downgrades both on National and Foreign stock markets through an Event-Study methodology. The main focus is the impact generated by S&P and Moody’s downgrades on market indexes from advanced economies throughout the world. This approach was taken to compare the impact felt by the downgraded countries with the impact on other countries belonging to that same region. Even though I find little evidence of national impact outside Europe, where the abnormal returns range from -0,03% to -0,2% on the event date, my analysis suggests that there is evidence of spillover effects throughout the developed world, as one of the models used finds significant negative abnormal returns on the event date in 2 out of the 3 estimation windows considered, the third being marginally insignificant. Regardless of the model the spillover creates abnormal returns that go from 0% to -0,4%. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-10-27T10:56:25Z 2017-10-18 2017 2017-10-18T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/23262 TID:201748967 |
url |
http://hdl.handle.net/10400.14/23262 |
identifier_str_mv |
TID:201748967 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131885481230337 |