Title: Sovereign credit ratings and Asian financial markets
Authors: Pervaiz, Khansa
Virglerová, Zuzana
Khan, Muhammad Asif
Akbar, Usman
Popp, József
Citation: E+M. Ekonomie a Management = Economics and Management. 2021, roč. 2, č. 1, s. 165-181.
Issue Date: 2021
Publisher: Technická univerzita v Liberci
Document type: article
článek
URI: http://hdl.handle.net/11025/43098
ISSN: 2336-5604 (Online)
1212-3609 (Print)
Keywords: suverénní úvěrový rating;rozvoj finančního trhu;panelové datové modely;Standard and Poor’s;Moody’s;Asie
Keywords in different language: sovereign credit ratings;financial market development;panel data models;Standard and Poor’s;Moody’s;Asia
Abstract in different language: 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’s, and Moody’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’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’ speculations, we propose a micro-level extension of the present model to overcome a difference in country policy.
Rights: CC BY-NC 4.0
Appears in Collections:Číslo 1 (2021)
Číslo 1 (2021)

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