Stock Market Impact of Sovereign Credit Rating Announcements: The Case of GIIPS and BRIC Countries During the European Sovereign Debt Crisis of 2009-2013

2013 ◽  
Author(s):  
Alexander Paterson ◽  
Delphine Gauthier
Keyword(s):  
Stock Market ◽  
Sovereign Debt ◽  
Credit Rating ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
Market Impact ◽  
Sovereign Credit ◽  
Bric Countries ◽  
European Sovereign Debt Crisis ◽  
Sovereign Credit Rating

scholarly journals Stock Market Reactions To Sovereign Credit Rating Changes: Evidence From Four European Countries

2014 ◽  
Vol 30 (3) ◽  
pp. 953 ◽  
Author(s):  
Ibrahim Fatnassi ◽  
Zied Ftiti ◽  
Habib Hasnaoui
Keyword(s):  
Sovereign Debt ◽  
Credit Rating ◽  
Debt Crisis ◽  
Regression Equations ◽  
Market Reactions ◽  
Rating Agencies ◽  
Sovereign Credit ◽  
Rating Changes ◽  
Stock Market Reactions ◽  
Sovereign Credit Rating

We analyze the reactions of the returns of four European stock markets to sovereign credit rating changes by Fitch, Moodys, and Standard and Poors (S&P) during the period from June 2008 to June 2012 using panel regression equations. We find that (i) upgrades and downgrades affect both own country returns and other countries returns, (ii) market reactions to foreign downgrades are stronger during the sovereign debt crisis period, and (iii) negative news from rating agencies are more informative than positive news.

scholarly journals The Impact of the Introduction of Uniform European Collective Action Clauses on European Government Bonds as a Regulatory Result of the European Sovereign Debt Crisis

2020 ◽  
Vol 14 (1) ◽  
pp. 1
Author(s):  
Nicoletta Layher ◽  
Eyden Samunderu
Keyword(s):  
European Union ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
The European Union ◽  
Bond Yields ◽  
Member States ◽  
Sovereign Bond ◽  
European Sovereign Debt Crisis ◽  
Collective Action Clauses

This paper conducts an empirical study on the inclusion of uniform European Collective Action Clauses (CACs) in sovereign bond contracts issued from member states of the European Union, introduced as a regulatory result of the European sovereign debt crisis. The study focuses on the reaction of sovereign bond yields from European Union member states with the inclusion of the new regulation in the European Union. A two-stage least squares regression analysis is adopted in order to determine the extent of impact effects of CACs on member states sovereign bond yields. Evidence is found that CACs in the European Union are priced on financial markets and that sovereign bond yields do respond to the inclusion of uniform CACs in the European Union.

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