Credit rating agencies make multiple announcements, some of which are intended to reflect the latest information available about a firm and others of which are intended to provide a stable signal of credit quality. Using data on CDS spreads, we examine which of these different types of rating...

This paper demonstrates a positive relationship between information risk and the credit contagion effect. We use abnormal changes in the Credit Default Swaps (CDS) spreads to measure the contagion effect, and the dispersion of analyst forecasts as a proxy for information risk. We find that firms...

Drawing upon an extensive dataset comprising 3,680 cyberattacks on firms listed in 5 stock markets, our main objective is to ascertain the financial market reaction based on a hybrid valuation inspired by the event study methodology and a counterfactual analysis. Analyses concern three dates...

This paper examines the short run and long run inter linkages of the Indian stock market with those of Advanced emerging markets viz. Brazil, Hungary, Taiwan, Mexico, Poland and South Africa over the period ranging from 1 January 1992 to 31 December 2009 using Johansen co-integration test and...

This paper explores the inter-market linkages and the transmission of financial information among the capital markets of five South-Eastern European countries and their relationships with some of the mature markets. The Johansen co-integration framework pointed to the existence of one...

This paper examines the impact of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. In contrast to previous work, we find that positive events have a more consistent impact on sovereign...

This paper examines (1) whether a cross-listed company spillover effect starts from an earlier time zone market to a later time zone market, whether investors can find profit opportunities from cross-listed share trading, and (2) whether the magnitude of cross-listed share performance deviations...

The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and...

This study investigates the cross-market interdependence among Asia-Pacific countries through dynamic herding spillover by using the structural change model of Bai and Perron (1998, 2003) from 2007-2022. The countries selected for the study are China, Japan, South Korea, India, the US, and...