主权评级在金融危机中会破坏股市的稳定吗?:来自高回报时刻的新证据

R. Brooks, R. Faff, Sirimon Treepongkaruna, Eliza Wu
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引用次数: 0

摘要

我们研究了在最近的金融危机中,标准普尔主权评级的重新评级对股票市场回报率较高时刻的影响。通过对1996年至2013年间经历主权评级变化的36个国家的股票市场指数价格和主权信用评级进行分析,我们发现,在金融危机期间,股票市场回报较高的时刻对主权评级的反应明显更强,但对股票市场的影响在不同的金融危机中并不相同。然而,在危机期间,大幅下调评级以及与失去投资级地位相关的评级,其影响会被放大。我们发现,在金融危机期间存在不对称效应,在增加已实现波动率和已实现峰度方面,降级始终比升级更显著。在危机发生时,上调和下调都会影响预期方向的已实现偏度。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises?: New Evidence From Higher Return Moments
We investigate the effects of S&P’s sovereign re-ratings on the higher moments of equity market returns over recent financial crises. Using a set of intraday stock market index prices and sovereign credit ratings for a sample of 36 countries which experienced sovereign rating changes over the period from 1996 - 2013, we find that the higher moments of stock market returns are significantly more responsive to sovereign re-ratings during financial crises but the effects on stock markets are not the same across different financial crises. The effects during crises are however magnified for large downgrades and those that are associated with a loss of investment grade status. We find that there are asymmetric effects during financial crises in that downgrades are consistently more significant than upgrades in increasing realized volatility and realized kurtosis. Both upgrades and downgrades affect realized skewness in times of crises in the expected direction.
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