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 correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and...