The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union

Do, HX; Brooks, R; Treepongkaruna, S; Wu, E

The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union

Do, HX

Brooks, R Treepongkaruna, S Wu, E

Permalink

Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2014, 34 pp. 5 - 20
Issue Date:: 2014-01-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Download full textAdobe PDF (2.56 MB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Do, HX https://orcid.org/0000-0001-7662-5566	en_US
dc.contributor.author	Brooks, R	en_US
dc.contributor.author	Treepongkaruna, S	en_US
dc.contributor.author	Wu, E https://orcid.org/0000-0003-3937-8660	en_US
dc.date.available	2020-05-25T19:17:19Z
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	International Review of Financial Analysis, 2014, 34 pp. 5 - 20	en_US
dc.identifier.issn	1057-5219	en_US
dc.identifier.uri	http://hdl.handle.net/10453/30415
dc.description.abstract	We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012. We find evidence across rating regimes to support the usefulness of our proposed model in accommodating both long memory and regime switching features. Furthermore, we reveal that the total effects (both direct and indirect forces) of sovereign credit assessments on the first four realized moments of return distributions can be different to their direct effects on individual moments. Thus, we find the rank orders among the three major CRAs to differ for each realized moment and asset market. © 2013 Elsevier Inc.	en_US
dc.relation.ispartof	International Review of Financial Analysis	en_US
dc.relation.isbasedon	10.1016/j.irfa.2014.05.002	en_US
dc.subject.classification	Finance	en_US
dc.title	The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union	en_US
dc.type	Journal Article
utslib.citation.volume	34	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1801 Law	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
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	34	en_US

Abstract:

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012. We find evidence across rating regimes to support the usefulness of our proposed model in accommodating both long memory and regime switching features. Furthermore, we reveal that the total effects (both direct and indirect forces) of sovereign credit assessments on the first four realized moments of return distributions can be different to their direct effects on individual moments. Thus, we find the rank orders among the three major CRAs to differ for each realized moment and asset market. © 2013 Elsevier Inc.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/30415