Does sovereign debt ratings news spill over to international stock markets

By Miguel A. Ferreira, P. Gama. 2007

209 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7c7655599fa63974394a254ec2e64ca466f22c0b

How researchers see this paper

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In Economics and Econometrics

1. R. Vermeulen
2. Theoharry Grammatikos

In Finance

1. Rasha Alsakka
2. R. Vermeulen
3. Owain ap Gwilym
4. Theoharry Grammatikos

Citations in the corpus

• Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates (2012, background): “Hence, in the pre-Lehman sub period the Greek CDS spread seems to capture a European 11 Ferreira and Gama (2007) provide evidence on the transmission of sovereign debt rating downgrades to international stock market.”
• The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, unknown): “In this way, we improve upon the arbitrary adjustments made to linearly transformed sovereign rating scales in for example, Gande and Parsley (2005), Ferreira and Gama (2007) and Kim and Wu (2007).”
• Leads and lags in sovereign credit ratings. (2010, background): “Ferreira and Gama (2007) reveal that sovereign down- 2 Nationally Recognized Statistical Rating Organizations approved by the US Securities and Exchange Commission (SEC).”