Sovereign Rating News and Financial Markets Spillovers; Evidence from the European Debt Crisis

摘要: This paper examines the spillover effects of sovereign rating news on European financial markets during period 2007-2010. Our main finding is that downgrades have statistically and economically significant both across countries markets. The sign magnitude depend type announcements, source country experiencing downgrade agency from which announcements originates. However, we also find evidence to near speculative grade ratings for relatively large economies such as Greece a systematic effects. Rating-based triggers may help explain these results.