The National Market Impact of Sovereign Rating Changes

By D. Hillier, R. Brooks, R. Faff, J. Hillier. 2002

280 citations recorded by the source corpus.

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A spatial analysis of international stock market linkages (2013, methodology): “On one hand, time-series empirical studies, such as Brooks et al. (2004) and Hooper et al. (2008), have shown that a country being creditdowngraded tends to have a decrease in its stock market returns.”
Does sovereign debt ratings news spill over to international stock markets (2007, background): “Brooks et al. (2004) study the own-country stock market impact of sovereign debt rating changes.”
Leads and lags in sovereign credit ratings. (2010, background): “Brooks et al. (2004) find that sovereign rating downgrades have a strong negative impact (1-day abnormal return of 197 basis points), but there is limited evidence of abnormal returns linked to upgrades.”
Credit Rating Agencies (2011, background): “49 Brooks et al. (2004). 50 Gande and Parsley (2005). 51 Ismailescu and Kazemi (2010).”
Variations in sovereign credit quality assessments across rating agencies (2010, background): “increasingly important. Brooks, Faff, Hillier and Hillier (2004) , Gande and Parsley”