The effect of credit ratings on emerging market volatility

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dc.contributor.authorBales, Kyle Terrence
dc.date.accessioned2017-11-24T07:13:21Z
dc.date.available2017-11-24T07:13:21Z
dc.date.issued2017
dc.descriptionThis write-up is submitted in partial fulfillment of the Master of Management Degree in Finance and Investmenten_ZA
dc.description.abstractThrough the use of an EGARCH model and a fixed effects panel regression, the reaction of emerging market stock and bond volatility to sovereign credit ratings changes is examined. The daily data covers the period of 1990 to 2016 and emerging market crises, such as the 1994 Mexican peso crisis, 1997 Asian financial crises and the global 2008 financial crises. The estimations provide evidence of an asymmetric effect of rating changes on stock volatilities, whereby downgrades have a significant impact, while upgrades have no such effect. For bonds the effect is ambiguous with both upgrades and downgrades having an effect. Downgrades are found to increase both stock and bond market volatility. On aggregate, contagion effects amongst stocks are found for emerging markets, as well as for the continents of Asia and Europe. No such evidence is found for bonds.en_ZA
dc.description.librarianMT2017en_ZA
dc.format.extentOnline resource (xiii, 49 leaves)
dc.identifier.citationBales, Kyle Terrence (2016) The effect of credit ratings on emerging market volatility, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/23424>
dc.identifier.urihttp://hdl.handle.net/10539/23424
dc.language.isoenen_ZA
dc.subject.lcshCredit ratings--Methodology
dc.subject.lcshStock exchanges--Developing countries
dc.subject.lcshRating agencies (Finance)
dc.titleThe effect of credit ratings on emerging market volatilityen_ZA
dc.typeThesisen_ZA
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