Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets: Evidence from the Asian Financial Crisis |
| |
Authors: | Sirimon Treepongkaruna Eliza Wu |
| |
Institution: | 1. UWA Business School, University of Western Australia, Perth, WA 6009, Australia;2. UTS Business School, University of Technology, Sydney, PO Box 123 Broadway, Sydney, NSW 2007, Australia |
| |
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. |
| |
Keywords: | G15 F30 F31 |
本文献已被 ScienceDirect 等数据库收录! |
|