This paper examines whether changes in a particular country s sovereign ratings provided by Standard and Poor s and Moody s trigger a spillover effect on other countries. The analysis focuses on two sets of countries namely where there are trade links between the countries and where there are links between the financial markets of each country. The findings indicate that there are more significant results when the links in financial markets are analysed compared to trade links. Moreover, the results are dependent on which rating is under analysis, that is, Standard and Poor s Local Currency, Standard and Poor s Foreign Currency, Moody s Bank Deposit or Moody s bonds and notes. Finally, there does appear to be a contamination effect for both upgrades and downgrades among the countries.