Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/6565
Título: Sovereign credit ratings, market volatility and financial gains
Autor: Afonso, António
Gomes, Pedro
Taamouti, Abderrahim
Palavras-chave: Sovereign ratings
Yields
Stock market returns
Volatility
EGARCH
Optimal portfolio
Financial gain
Risk management
Value-at-risk
Data: Fev-2014
Editora: ISEG. Departamento de Economia
Citação: Afonso, António, Pedro Gomes, Abderrahim Taamouti. 2014. "Sovereign credit ratings, market volatility and financial gains". Instituto Superior de Economa e Gestão, Departamento de Economia. DE working papers. Nº 7/2014/DE/UECE
Relatório da Série N.º: DE working papers;7/2014/DE/UECE
Resumo: The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements creating interdependence among European financial markets with upgrades (downgrades) in one country leading to a decrease (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction for portfolio returns when taking into account sovereign credit ratings’ information for volatility modelling, with financial gains decreasing with higher risk aversion.
URI: http://hdl.handle.net/10400.5/6565
ISSN: 2183-1815
Aparece nas colecções:DE - Documentos de trabalho / Working Papers
UECE - Documentos de Trabalho / UECE - Working Papers

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