Impact of the Credit Rating Revision on the Eurozone Stock Markets

Trabelsi, Mohamed Ali and Hmida, Salma (2018): Impact of the Credit Rating Revision on the Eurozone Stock Markets.

Abstract

The contagion generated by the US subprime crisis and the European sovereign debt crisis that hit the Eurozone stock markets is still a highly debated subject. In this paper, we try to analyze the revision effect of the credit ratings of the Eurozone countries. To this end, we used a bivariate DCC-GARCH model to measure the extent of dynamic correlations between stock returns of our sample. Our results indicate that credit ratings revisions have a relatively limited effect on the dynamic correlations of the Eurozone stock markets.

• Item Type: MPRA Paper
• Language: English
• Keywords: Financial contagion; European debt crisis; Dynamic conditional correlations
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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