Sovereign credit ratings and asian financial markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F21%3A63527219" target="_blank" >RIV/70883521:28120/21:63527219 - isvavai.cz</a>

Výsledek na webu

<a href="https://dspace.tul.cz/bitstream/handle/15240/159936/EM_1_2021_11.pdf?sequence=1&isAllowed=y" target="_blank" >https://dspace.tul.cz/bitstream/handle/15240/159936/EM_1_2021_11.pdf?sequence=1&isAllowed=y</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.15240/tul/001/2021-1-011" target="_blank" >10.15240/tul/001/2021-1-011</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Sovereign credit ratings and asian financial markets

Popis výsledku v původním jazyce

Each region/country seeks to become more efficient to gain the confidence of potential investors. Most of the Asian economies are categorized as emerging markets, where the role of financial markets has even become more intensified to provide financial services to increasing economic and financial activities. Asian financial market has momentously suffered during the Asian, and global financial crisis. The mass destruction was mainly caused due to the mounting uncertainty, which spillover throughout the region, where investors lost their confidence. Considering the pivotal economic role of financial markets, and implications evolve due to sovereign credit rating announcements, this study aims to model the role of sovereign credit rating announcements by Standard and Poor&apos;s, and Moody&apos;s on financial market development of the Asian region. For 24 Asian countries/regions, we perform a regression analysis on sovereign credit rating changes based on financial market development index and its factors. The findings of Driscoll Kraay&apos;s robust estimator reveals that improvement in sovereign credit rating score enhances the financial market development in the region. Moreover, we applied several robustness checks, such as alternative estimators, alternative measures, and three sub-dimensions of financial market development. According to the findings from these robustness checks, the positive impact of sovereign credit ratings on financial market development in the region is robust. Unlike prior literature (which is confined to the event study approach), this study utilizes the historical grades to establish the relationship under the standard error clustering approach. Due to the diversity of investors&apos; speculations, we propose a micro-level extension of the present model to overcome a difference in country policy.

Název v anglickém jazyce

Sovereign credit ratings and asian financial markets

Popis výsledku anglicky

Each region/country seeks to become more efficient to gain the confidence of potential investors. Most of the Asian economies are categorized as emerging markets, where the role of financial markets has even become more intensified to provide financial services to increasing economic and financial activities. Asian financial market has momentously suffered during the Asian, and global financial crisis. The mass destruction was mainly caused due to the mounting uncertainty, which spillover throughout the region, where investors lost their confidence. Considering the pivotal economic role of financial markets, and implications evolve due to sovereign credit rating announcements, this study aims to model the role of sovereign credit rating announcements by Standard and Poor&apos;s, and Moody&apos;s on financial market development of the Asian region. For 24 Asian countries/regions, we perform a regression analysis on sovereign credit rating changes based on financial market development index and its factors. The findings of Driscoll Kraay&apos;s robust estimator reveals that improvement in sovereign credit rating score enhances the financial market development in the region. Moreover, we applied several robustness checks, such as alternative estimators, alternative measures, and three sub-dimensions of financial market development. According to the findings from these robustness checks, the positive impact of sovereign credit ratings on financial market development in the region is robust. Unlike prior literature (which is confined to the event study approach), this study utilizes the historical grades to establish the relationship under the standard error clustering approach. Due to the diversity of investors&apos; speculations, we propose a micro-level extension of the present model to overcome a difference in country policy.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

E+M. Ekonomie a Management

ISSN

1212-3609

e-ISSN

—

Svazek periodika

24

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

165-181

Kód UT WoS článku

000630436900011

EID výsledku v databázi Scopus

2-s2.0-85103842539