Joint rating announcements by the three leading agencies: An analysis of realized volatility in Asian FX markets

Emawtee Bissoondoyal-Bheenick, Robert Brooks, Samantha Hum, Sirimon Treepongkaruna

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

1 Citation (Scopus)

Abstract

This study examines the effects of the sovereign rating changes by the three leading agencies, Standard and Poor's, Moody's and Fitch on realized foreign exchange market volatility in the Asian markets over a period of 1997-2001. Specifically, we investigate whether there are differences in FX market reaction following a single rating change announcement by one agency or a joint rating announcement by different combinations of the agencies or the three agencies together. We find that as far as the single ratings are concerned, Standard and Poor's seems to provide a stronger market reaction than Moody's and Fitch. Further, when there are multiple agency rating changes, the market reaction following single or joint ratings is similar. Finally, there is a tendency for realised volatility to increase as a function of the number of rating events. JEL Classification: G15

Original languageEnglish
Title of host publication2010 International Conference on Management Science and Engineering, ICMSE 2010
Pages1076-1083
Number of pages8
DOIs
Publication statusPublished - 2010
EventInternational Conference on Management Science and Engineering 2010 - Melbourne, Australia
Duration: 24 Nov 201026 Nov 2010
Conference number: 17th

Conference

ConferenceInternational Conference on Management Science and Engineering 2010
Abbreviated titleICMSE 2010
CountryAustralia
CityMelbourne
Period24/11/1026/11/10

Keywords

  • Foreign exchange market
  • Joint ratings changes
  • Realized volatility
  • Sovereign rating changes
  • Standard and poors

Cite this

Bissoondoyal-Bheenick, E., Brooks, R., Hum, S., & Treepongkaruna, S. (2010). Joint rating announcements by the three leading agencies: An analysis of realized volatility in Asian FX markets. In 2010 International Conference on Management Science and Engineering, ICMSE 2010 (pp. 1076-1083). [5719931] https://doi.org/10.1109/ICMSE.2010.5719931