Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes (Wrazliwosc rynku akcji Europy Srodkowo-Wschodniej na zmiany credit ratingow)

Patrycja Chodnicka-Jaworska ()
Additional contact information
Patrycja Chodnicka-Jaworska: Faculty of Management, University of Warsaw

Problemy Zarzadzania, 2018, vol. 16, issue 74, 46-61

Abstract: The aim of the paper is to verify the influence of credit rating changes on the rates of return on shares taking into account the size of the credit rating agency. A review of literature about the mentioned relationship by type of sector has been prepared. The following hypothesis is proposed: The banks’ share prices show a weaker reaction to credit rating changes than the entities outside the banking sector. The strongest impact of credit rating changes is observed for a downgrade. This hypothesis has been verified by using event study methods on data collected from Thomson Reuters Database through the years 1980 to 2015. The unobserved variables are long term issuer credit ratings given to banks and institutions outside the financial institutions. Rates of return on shares are used as observed variables.

Keywords: credit ratings; banking sector; non-financial sector; stock prices (search for similar items in EconPapers)
JEL-codes: G14 G15 G21 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
https://press.wz.uw.edu.pl/ems/vol16/iss74/2 (application/pdf)

Related works:
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:sgm:pzwzuw:v:16:i:74:y:2018:p:46-61

Access Statistics for this article

More articles in Problemy Zarzadzania from University of Warsaw, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().