Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?

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dc.contributor.author Christopher, R
dc.contributor.author Kim, S-J
dc.contributor.author Wu, E
dc.date.accessioned 2012-10-12T03:34:56Z
dc.date.issued 2012-10
dc.identifier.citation Journal of International Financial Markets, Institutions and Money, 2012, 22 (4), pp. 1070 - 1089
dc.identifier.issn 1042-4431
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/18825
dc.description.abstract We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and bond market co-movements within a region respond heterogeneously to sovereign ratings information. Sovereign ratings and outlooks tend to be positively related to regional stock market co-movements suggesting that there are positive rating spillover effects whereby upgrades provide common benefits for neighboring countries in the region, however downgrades would lead to investors shifting funds from the downgraded market into the surrounding region. In contrast, sovereign rating and outlooks tend to be negatively related to regional bond market co-movements suggesting the existence of contagion during periods of ratings and outlook downgrades (negative rating spillover effects). We find the negative influence is concentrated in the countries that have higher foreign currency debt ratings than the regional average. © 2012 Elsevier B.V..
dc.language eng
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1016/j.intfin.2012.01.003
dc.title Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?
dc.type Journal Article
dc.parent Journal of International Financial Markets, Institutions and Money
dc.journal.volume 4
dc.journal.volume 22
dc.journal.number 4 en_US
dc.publocation USA en_US
dc.identifier.startpage 1070 en_US
dc.identifier.endpage 1089 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.for 1402 Applied Economics
dc.personcode 111647
dc.percentage 50 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Bonds
dc.description.keywords Emerging markets
dc.description.keywords Financial market linkages
dc.description.keywords Sovereign ratings
dc.description.keywords Stocks
pubs.embargo.period Not known
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
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
pubs.consider-herdc true
utslib.collection.history General (ID: 2)
utslib.collection.history Finance (ID: 371)


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