Christopher, Rachel; Kim, Suk-Joong; Wu, Eliza - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 1070-1089
We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market … sovereign ratings information. Sovereign ratings and outlooks tend to be positively related to regional stock market co …-movements suggesting the existence of contagion during periods of ratings and outlook downgrades (negative rating spillover effects). We …