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 language | English |
|---|---|
| Title of host publication | 2010 International Conference on Management Science and Engineering, ICMSE 2010 |
| Pages | 1076-1083 |
| Number of pages | 8 |
| DOIs | |
| Publication status | Published - 2010 |
| Event | International Conference on Management Science and Engineering 2010 - Melbourne, Australia Duration: 24 Nov 2010 → 26 Nov 2010 Conference number: 17th |
Conference
| Conference | International Conference on Management Science and Engineering 2010 |
|---|---|
| Abbreviated title | ICMSE 2010 |
| Country | Australia |
| City | Melbourne |
| Period | 24/11/10 → 26/11/10 |
Keywords
- Foreign exchange market
- Joint ratings changes
- Realized volatility
- Sovereign rating changes
- Standard and poors