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掌握主权信用评级变动的市场影响及其传染机制,对于投资者、国家金融安全及政府采取应对措施来说都意义重大。文章采用事件研究法,以1990-2013年全球48个经济体发生的评级事件和每日股指收益率数据为样本,实证研究了事件国评级变动对非事件国股票市场的影响及其传染渠道,结果表明:(1)评级下调会对股票市场产生显著为负的超额收益,但评级上调产生的超额收益不显著;(2)股票市场可以提前预测评级下调事件,但不能预测评级上调事件;(3)季风效应对评级调整的市场传染有一定的解释力;(4)净传染效应基本不显著,这说明评级事件的市场传染应该有经济基础,而不是由投资者心理预期这类非基本面因素造成的;(5)溢出效应可以较好地解释评级的市场传染,是评级变动影
Grasp of the market impact of the change in sovereign credit rating and its contagion mechanism are of great significance to investors, national financial security and government response measures. Based on the case study of rating events and daily return of stock index in 48 economies from 1990 to 2013, this paper empirically studies the impact of the change in rating of event countries on the non-event countries’ stock markets and the channels of contagion. The results show that: (1) Rating downgrade will produce significant negative returns on the stock market, but the excess returns arising from the rating increase will not be significant. (2) The stock market can forecast downgrade events in advance, but can not forecast the downgrade events; 3) The monsoon effect has some explanatory power on the market contagion of rating adjustment; 4) The net contagion effect is basically insignificant, which shows that the market contagion of rating events should have an economic basis rather than the non-fundamentals Factors caused; (5) spillover effect can better explain the rating of the market contagion is the rating change shadow