国家主权信用评级、跨国传染与股票市场回应?--基于全球48个经济体的事件研究

掌握主权信用评级变动的市场影响及其传染机制，对于投资者、国家金融安全及政府采取应对措施来说都意义重大。文章采用事件研究法，以1990-2013年全球48个经济体发生的评级事件和每日股指收益率数据为样本，实证研究了事件国评级变动对非事件国股票市场的影响及其传染渠道，结果表明：(1)评级下调会对股票市场产生显著为负的超额收益，但评级上调产生的超额收益不显著；(2)股票市场可以提前预测评级下调事件，但不能预测评级上调事件；(3)季风效应对评级调整的市场传染有一定的解释力；(4)净传染效应基本不显著，这说明评级事件的市场传染应该有经济基础，而不是由投资者心理预期这类非基本面因素造成的；(5)溢出效应可以较好地解释评级的市场传染，是评级变动影响市场及传染的主要渠道。文章的结论深化了我们对评级调整如何影响股票市场及其传染渠道的认识，也为中国防范国外主权信用评级变动风险提供了有益启示。

National Sovereign Credit Ratings,Cross-nation Contagion and Stock Market Responses:Evidence from the Event Study of 48 Economies

A grasp of the market impact and transmission mechanism of sovereign credit rating changes is of great significance to by investors,the maintenance of national financial security,and countermeasures taken by governments.This paper uses event study and a total sample of rating events of 48 economies,including China,and daily stock re-turns data from 1990 to 2013 to empirically study the impact of sovereign credit ratings changes on the stock market and its transmission channels.It comes to the following con-clusions:firstly,sovereign credit ratings downgrading generates significantly negative ab-normal returns on the stock market,but abnormal returns resulting from sovereign credit ratings upgrading are not significant;secondly,the stock market can predict the event of sovereign credit ratings downgrading in advance,but cannot predict the event of sovereign credit ratings upgrading;thirdly,monsoon effect provides the explanation of market con-tagion of ratings adjustment to some extent;fourthly,related variables of net contagion effect are basically not significant,illustrating thatmarket contagion of ratings events should have an economic base and is not caused by psychological expectations (this kind of non-fundamental factors)of investors;fifthly,spillover effect can better explain market contagion of sovereign credit ratings,and is the main channel of the effect of changes in sovereign credit ratings on stock market and contagion.The conclusions deepen the under-standing of the effect of changes in sovereign credit ratings on stock market and its differ-ent transmission channels,and also provide a useful inspiration for China to prevent from its own sovereign credit ratings change risk.