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

Publisher:
Elsevier
Publication Type:
Journal Article
Citation:
Research in International Business and Finance, 2012, 26 (3), pp. 335 - 352
Issue Date:
2012-01
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2011001488.pdf375.44 kB
Adobe PDF
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.
Please use this identifier to cite or link to this item: