Impact of the Credit Rating Revision on the Eurozone Stock Markets

Mohamed Ali Trabelsi and Salma Hmida

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Financial contagion; European debt crisis; Dynamic conditional correlations (search for similar items in EconPapers)
JEL-codes: C22 G01 G15 (search for similar items in EconPapers)
Date: 2018, Revised 2018
New Economics Papers: this item is included in nep-eec and nep-fmk
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https://mpra.ub.uni-muenchen.de/89152/1/MPRA_paper_89152.pdf original version (application/pdf)

Related works:
Journal Article: Impact of the Credit Rating Revision on the Eurozone Stock Markets (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:89152

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