Abstract
The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&P: there are some negative price effects as well on mixed-type rating change effects, such as 'rating watch' announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.
| Original language | English |
|---|---|
| Pages (from-to) | 85-100 |
| Number of pages | 16 |
| Journal | Journal of Central Banking Theory and Practice |
| Volume | 8 |
| Issue number | 2 |
| Early online date | 22 May 2019 |
| DOIs | |
| Publication status | E-pub ahead of print - 22 May 2019 |
| Externally published | Yes |
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Bibliographical note
Open accessKeywords
- Credit Rating Agency (CRA)
- Event Study
- Sovereign Credit Rating
- Sovereign Debt
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
- Strategy and Management
Cite this
Impact of Sovereign Debt Credit Rating Revision on Banking Industry : Evidence from G7 Countries. / Tahmoorespour, Reza; Ariff, Mohamed; Zarei, Alireza.
In: Journal of Central Banking Theory and Practice, Vol. 8, No. 2, 22.05.2019, p. 85-100.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Impact of Sovereign Debt Credit Rating Revision on Banking Industry
T2 - Evidence from G7 Countries
AU - Tahmoorespour, Reza
AU - Ariff, Mohamed
AU - Zarei, Alireza
N1 - Open access
PY - 2019/5/22
Y1 - 2019/5/22
N2 - The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&P: there are some negative price effects as well on mixed-type rating change effects, such as 'rating watch' announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.
AB - The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&P: there are some negative price effects as well on mixed-type rating change effects, such as 'rating watch' announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.
KW - Credit Rating Agency (CRA)
KW - Event Study
KW - Sovereign Credit Rating
KW - Sovereign Debt
UR - http://www.scopus.com/inward/record.url?scp=85066629431&partnerID=8YFLogxK
U2 - 10.2478/jcbtp-2019-0015
DO - 10.2478/jcbtp-2019-0015
M3 - Article
VL - 8
SP - 85
EP - 100
JO - Journal of Central Banking Theory and Practice
JF - Journal of Central Banking Theory and Practice
SN - 1800-9581
IS - 2
ER -