Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/5484
Title: | Does sovereign debt ratings news spill over to international stock markets? | Authors: | Ferreira, Miguel A. Gama, Paulo M. |
Keywords: | Sovereign ratings; Spillover effects; Stock market | Issue Date: | 2007 | Citation: | Journal of Banking & Finance. 31:10 (2007) 3162-3182 | Abstract: | 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. | URI: | https://hdl.handle.net/10316/5484 | DOI: | 10.1016/j.jbankfin.2006.12.006 | Rights: | openAccess |
Appears in Collections: | FEUC- Artigos em Revistas Internacionais |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
filecffa194ba8f34469bea9a5a23e3603d5.pdf | 206.18 kB | Adobe PDF | View/Open |
SCOPUSTM
Citations
132
checked on Nov 11, 2022
WEB OF SCIENCETM
Citations
50
115
checked on May 2, 2023
Page view(s)
342
checked on Aug 28, 2024
Download(s) 50
854
checked on Aug 28, 2024
Google ScholarTM
Check
Altmetric
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.