Impact of the Credit Rating Revision on the Eurozone Stock Markets

Mohamed Ali Trabelsi and Salma Hmida ()

Journal Transition Studies Review, 2019, vol. 26, issue 1, 3-14

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)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
https://transitionacademiapress.org/jtsr/article/view/230/161 (application/pdf)
Access to full texts is restricted to Journal Transition Studies Review

Related works:
Working Paper: Impact of the Credit Rating Revision on the Eurozone Stock Markets (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ase:jtsrta:v:26:y:2019:i:1:p:3-14:id:230

Access Statistics for this article

More articles in Journal Transition Studies Review from Transition Academia Press
Bibliographic data for series maintained by Giorgio Dominese ().