主权信用评级对证券市场的影响研究述评

国际证券市场的持续动荡,使得主权信用评级的影响作用越加突现。诸多研究指出,主权信用评级调整对股票市场和债券市场都存在影响,但由于市场对信息的敏感程度不同,股票市场比债券市场的反应剧烈,而且股票市场对主权信用评级调整能作出提前响应。由于市场预期和经济周期的合力作用,市场存在着对正负评级变化的不对称反应。因此,对现有文献进行梳理和评议,一方面增进了人们对这一问题的认识和理解,另一方面也为制定风险防范政策提供了一定的参考依据。

A Review of Studies of the Impacts of Sovereign Credit Rating on Securities Markets

As the world financial markets are fluctuating,the impact of sovereign credit rating is becoming more and more important.Lots of researches point out that the adjustment of sovereign credit rating would influence both bond markets and stock markets.However,due to the different sensitive degrees of markets towards information,stock markets have more violent reactions than bond markets;and stock markets react in advance to the adjustment of sovereign credit rating.Because of the resultant action of the market expectation and the economic cycle,there exist in the markets the asymmetric reactions to the changes of positive and negative ratings.Therefore,to sort out and comment on the existing literatures can both improve the understanding of the public towards the issue and provide certain reference for the formulation of risk prevention policies.