Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?

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dc.contributor.author Christopher, Rachel en_US
dc.contributor.author Kim, Suk-Joong en_US
dc.contributor.author Wu, Eliza en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-10-12T03:34:56Z
dc.date.available 2012-10-12T03:34:56Z
dc.date.issued 2012 en_US
dc.identifier 2011001484 en_US
dc.identifier.citation Christopher Rachel, Kim Suk-Joong, and Wu Eliza 2012, 'Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?', Elsevier, vol. 22, no. 4, pp. 1070-1089. en_US
dc.identifier.issn 1042-4431 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/18825
dc.description.abstract We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and bond market co-movements within a region respond heterogeneously to sovereign ratings information. Sovereign ratings and outlooks tend to be positively related to regional stock market co-movements suggesting that there are positive rating spillover effects whereby upgrades provide common benefits for neighboring countries in the region, however downgrades would lead to investors shifting funds from the downgraded market into the surrounding region. In contrast, sovereign rating and outlooks tend to be negatively related to regional bond market co-movements suggesting the existence of contagion during periods of ratings and outlook downgrades (negative rating spillover effects). We find the negative influence is concentrated in the countries that have higher foreign currency debt ratings than the regional average. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.intfin.2012.01.003 en_US
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money [Volume 22, Issue 4, October 2012, Pages 1070–1089)] DOI# http://dx.doi.org/10.1016/j.intfin.2012.01.003 en_US
dc.title Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries? en_US
dc.parent Journal of International Financial Markets, Institutions and Money en_US
dc.journal.volume 22 en_US
dc.journal.number 4 en_US
dc.publocation USA en_US
dc.identifier.startpage 1070 en_US
dc.identifier.endpage 1089 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140200 en_US
dc.personcode 0000073566 en_US
dc.personcode 0000046190 en_US
dc.personcode 111647 en_US
dc.percentage 50 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Bonds; Emerging markets; Financial market linkages; Sovereign ratings; Stocks en_US
dc.staffid en_US
dc.staffid 111647 en_US


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