Arşiv ve Dokümantasyon Merkezi
Dijital Arşivi

Stock market responses to sovereign rating announcements:|An event study on different country groups

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dc.contributor Graduate Program in International Trade Management.
dc.contributor.advisor Ünal, Gözde Erhan.
dc.contributor.author Şahin, Oğuz Can.
dc.date.accessioned 2023-03-16T12:50:10Z
dc.date.available 2023-03-16T12:50:10Z
dc.date.issued 2019.
dc.identifier.other INTT 2019 S34
dc.identifier.uri http://digitalarchive.boun.edu.tr/handle/123456789/18032
dc.description.abstract Credit rating agencies have gained significant importance in the last decades. Rating activities started with corporate bonds. Vast number of markets and tools are graded by agencies now. Many studies focused on corporate bond ratings and reaction of related stocks. Fewer studies investigated the relationship between sovereign credit ratings and country stock indexes. The thesis aims to measure the response of different index groups to sovereign credit rating announcements. Selected country groups are BRICS, developed markets economies and sub-segments of emerging markets. Response differences between mentioned groups are investigated in this study. 18 different indexes are included in the study. Period of the thesis is 01.01.2009 and 31.12.2018. Event study methodology is the used assessment technique in the study. The results underlined that there are significant returns for each of the selected groups. BRICS, developed market economies and investable emerging markets have significant abnormal returns during both upgrades and downgrades. Non-investable emerging markets and EU-member emerging markets had significant returns only during downgrades. On the other hand, Non-EU member emerging markets showed significant returns during upgrades.
dc.format.extent 30 cm.
dc.publisher Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2019.
dc.subject.lcsh Credit ratings -- Developing countries -- Econometric models.
dc.subject.lcsh Stock markets.
dc.title Stock market responses to sovereign rating announcements:|An event study on different country groups
dc.format.pages viii, 59 leaves ;


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