Does sovereign debt ratings news spill over to international stock markets?
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10316/5484 https://doi.org/10.1016/j.jbankfin.2006.12.006 |
Resumo: | The evidence here indicates that sovereign debt rating and credit outlook changes of one country have an asymmetric and economically significant effect on the stock market returns of other countries over 1989-2003. There is a negative reaction of 51 basis points (two-day return spread vis-á-vis the US) to a credit ratings downgrade of one notch in a common information spillover around the world. Upgrades, however, have no significant impact on return spreads of countries abroad. Closeness (e.g., geographic proximity) and emerging market status amplify the effect of a spillover. Downgrade spillover effects at the industry level are more pronounced in traded goods and small industries. |
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Does sovereign debt ratings news spill over to international stock markets?Sovereign ratingsSpillover effectsStock marketThe evidence here indicates that sovereign debt rating and credit outlook changes of one country have an asymmetric and economically significant effect on the stock market returns of other countries over 1989-2003. There is a negative reaction of 51 basis points (two-day return spread vis-á-vis the US) to a credit ratings downgrade of one notch in a common information spillover around the world. Upgrades, however, have no significant impact on return spreads of countries abroad. Closeness (e.g., geographic proximity) and emerging market status amplify the effect of a spillover. Downgrade spillover effects at the industry level are more pronounced in traded goods and small industries.http://www.sciencedirect.com/science/article/B6VCY-4MWXPV4-G/1/425660f05ca521e5322fdc58492d12842007info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleaplication/PDFhttp://hdl.handle.net/10316/5484http://hdl.handle.net/10316/5484https://doi.org/10.1016/j.jbankfin.2006.12.006engJournal of Banking & Finance. 31:10 (2007) 3162-3182Ferreira, Miguel A.Gama, Paulo M.info: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:RCAAP2020-11-06T16:49:09Zoai:estudogeral.uc.pt:10316/5484Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:45:38.529081Repositório 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 |
Does sovereign debt ratings news spill over to international stock markets? |
title |
Does sovereign debt ratings news spill over to international stock markets? |
spellingShingle |
Does sovereign debt ratings news spill over to international stock markets? Ferreira, Miguel A. Sovereign ratings Spillover effects Stock market |
title_short |
Does sovereign debt ratings news spill over to international stock markets? |
title_full |
Does sovereign debt ratings news spill over to international stock markets? |
title_fullStr |
Does sovereign debt ratings news spill over to international stock markets? |
title_full_unstemmed |
Does sovereign debt ratings news spill over to international stock markets? |
title_sort |
Does sovereign debt ratings news spill over to international stock markets? |
author |
Ferreira, Miguel A. |
author_facet |
Ferreira, Miguel A. Gama, Paulo M. |
author_role |
author |
author2 |
Gama, Paulo M. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Ferreira, Miguel A. Gama, Paulo M. |
dc.subject.por.fl_str_mv |
Sovereign ratings Spillover effects Stock market |
topic |
Sovereign ratings Spillover effects Stock market |
description |
The evidence here indicates that sovereign debt rating and credit outlook changes of one country have an asymmetric and economically significant effect on the stock market returns of other countries over 1989-2003. There is a negative reaction of 51 basis points (two-day return spread vis-á-vis the US) to a credit ratings downgrade of one notch in a common information spillover around the world. Upgrades, however, have no significant impact on return spreads of countries abroad. Closeness (e.g., geographic proximity) and emerging market status amplify the effect of a spillover. Downgrade spillover effects at the industry level are more pronounced in traded goods and small industries. |
publishDate |
2007 |
dc.date.none.fl_str_mv |
2007 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10316/5484 http://hdl.handle.net/10316/5484 https://doi.org/10.1016/j.jbankfin.2006.12.006 |
url |
http://hdl.handle.net/10316/5484 https://doi.org/10.1016/j.jbankfin.2006.12.006 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Journal of Banking & Finance. 31:10 (2007) 3162-3182 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
aplication/PDF |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
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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