Impacts of Sovereign Credit Rating on European Stock Markets during European Debt Crisis
Journal Title: Scholars Journal of Economics, Business and Management - Year 2014, Vol 1, Issue 6
Abstract
Sovereign credit rating not only affects the stock markets of rated countries, but also has spillover effects across countries and markets and in a highly integrated economic entity, spillover effects are more significant. During European debt crisis, the big three rating agencies frequently downgraded some European country ratings, which exacerbated the turmoil of stock markets in these countries, and even caused fluctuations in the entire European stock markets through spillover effects. To observe the impacts of downgrades to PIIGS countries on European stock markets, this paper adopts the method of impulse response function and variance decomposition based on VAR model. The empirical results show that downgrades to each country affect major European stock index differently, which is related to the formation and coverage of each stock index. What’s more, downgrades usually cause the rising of stock markets during European debt crisis, which indicates that there is a "seesaw" effect between stock markets and bond markets and it means funds flow from bond markets to stock markets, reflecting the volatility of European stock markets. Keywords: Sovereign credit rating; European stock markets; spillover effects; PIIGS; VAR; IRF; Variance decomposition
Authors and Affiliations
Yating He
Keywords
Related Articles
- EP ID EP384335
- DOI -
- Views 108
- Downloads 0
Access Experience Design: Designing for access management system
The study of access experience design tries to apply the design methodology to review the Intelligent Access Management System and create a new design in the perspective of industrial design and humanity art. A whole inv...
The Security Risk Issues of Smart Phones on a Global Level (A Case Study of the President of the United States, Barack Obama)
Abstract:During this modern age of technology, security risk issues of smartphones have increased recently, despite the high adoption of smartphones globally, with different ages of users and with a wide variety of smart...
Management and Administration of Early Childhood Development Centres: The Roles of School Heads
The findings and recommendations of the Nziramasanga Commission into Education and Training [3], have contributed to major reforms in education. Among other reforms, they have contributed to the establishment of ECD-A an...
Recreational Valuation of Pasikudah Beach Using Zonal Travel Cost Method
Abstract:Pasikuda beach is recognized as one of safest beaches in Sri Lanka and very famous among the visitors. The bay was endangered due to coral mining and bleaching, and now it was proposed as a marine sanctuary by N...
Living Condition of Migrants in Non-Agricultural Sector of Urban Punjab
Abstract:Migration is a global phenomenon. Migration is a major demographic process that has been an integral and salient feature of human history since the time immemorial. Migration is a movement from one place to anot...