A carregar...
Publicação
Ratings matter : Announcements in times of crisis and the dynamics of stock markets
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 637.62 KB | Adobe PDF |
Orientador(es)
Resumo(s)
In this paper we propose a novel approach in analysing the impact of changes in sovereign credit ratings on stock markets. We study the evolution of a segmented form of the stock market index for several crisis-hit countries, including both European and Asian markets. Such evolution is modelled by a homogeneous Markov chain, where the transition probabilities from one starting level of the index to a new (lower or higher) level in the next period depend on some explanatory variables, namely the country’s rating, GDP and interest rate, through a generalised ordered probit model. The credit ratings turn out to be determinant in the dynamics of the stock markets for all three European countries considered - Portugal, Spain and Greece, while not all considered Asian countries show evidence of correlation of market indices with the ratings.
Descrição
Palavras-chave
Credit Ratings Financial Crisis Europe Markov Chains Generalized Ordered Probit Models
Contexto Educativo
Citação
Rosati, Nicoletta … [et al.]. (2020). “Ratings matter : Announcements in times of crisis and the dynamics of stock markets”. Journal of International Financial Markets, Institutions & Money, Volume 64: 101166.
Editora
Elsevier