Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/7422
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: 2014
Editora: ISEG – Departamento de Economia
Citação: Afonso, António, Pedro Gomes e Abderrahim Taamouti (2014). "Sovereign credit ratings, market volatility, and financial gains". Instituto Superior de Economia e Gestão - DE Working papers nº 6/2014/DE/UECE
Relatório da Série N.º: DE Working papers;nº 6/2014/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/10400.5/7422
ISSN: 2183-1815
Versão do Editor: https://aquila5.iseg.ulisboa.pt/aquila/getFile.do?method=getFile&fileId=453524&_request_checksum_=444af151741b9beea619530a496f907ece268c6c
Aparece nas colecções:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
wp062014deuece.pdf1,99 MBAdobe PDFVer/Abrir


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.