Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets: Evidence from the Asian Financial Crisis

Treepongkaruna, S; Wu, E

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets: Evidence from the Asian Financial Crisis

Treepongkaruna, S Wu, E

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Research in International Business and Finance, 2012, 26 (3), pp. 335 - 352
Issue Date:: 2012-01

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Field	Value	Language
dc.contributor.author	Treepongkaruna, S	en_US
dc.contributor.author	Wu, E	en_US
dc.date.issued	2012-01	en_US
dc.identifier.citation	Research in International Business and Finance, 2012, 26 (3), pp. 335 - 352	en_US
dc.identifier.issn	0275-5319	en_US
dc.identifier.uri	http://hdl.handle.net/10453/18899
dc.description.abstract	We examine the effects of different types of sovereign rating announcements on realized stock and currency market volatilities and cross-asset correlations around periods of financial crises. Using intraday market data and sovereign ratings data for nine sample countries in the Asia-Pacific region over 1997-2001, we find that currency and stock markets react somewhat heterogeneously to various rating announcements and that stock markets are more responsive to rating news than currency markets. We find new evidence that ratings events have significant and asymmetric impacts on intraday market data and that national market attributes influence rating impacts during financial crises.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Research in International Business and Finance	en_US
dc.relation.isbasedon	10.1016/j.ribaf.2012.01.006	en_US
dc.rights	Elsevier required licence: © 2012 . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/. The definitive publisher version is available online at https://doi.org/10.1016/j.ribaf.2012.01.006	en_US
dc.subject.classification	Finance	en_US
dc.title	Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets: Evidence from the Asian Financial Crisis	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	26	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	3	en_US
pubs.volume	26	en_US

Abstract:

We examine the effects of different types of sovereign rating announcements on realized stock and currency market volatilities and cross-asset correlations around periods of financial crises. Using intraday market data and sovereign ratings data for nine sample countries in the Asia-Pacific region over 1997-2001, we find that currency and stock markets react somewhat heterogeneously to various rating announcements and that stock markets are more responsive to rating news than currency markets. We find new evidence that ratings events have significant and asymmetric impacts on intraday market data and that national market attributes influence rating impacts during financial crises.

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http://hdl.handle.net/10453/18899