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

doi:10.1109/ICMSE.2010.5719931

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 proceeding › Conference Paper › Research › peer-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 language	English
Title of host publication	2010 International Conference on Management Science and Engineering, ICMSE 2010
Publisher	IEEE, Institute of Electrical and Electronics Engineers
Pages	1076-1083
Number of pages	8
ISBN (Print)	9781424481163
DOIs	https://doi.org/10.1109/ICMSE.2010.5719931
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/Territory	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

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10.1109/ICMSE.2010.5719931

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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). IEEE, Institute of Electrical and Electronics Engineers. https://doi.org/10.1109/ICMSE.2010.5719931

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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",

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author = "Emawtee Bissoondoyal-Bheenick and Robert Brooks and Samantha Hum and Sirimon Treepongkaruna",

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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. IEEE, Institute of Electrical and Electronics Engineers, pp. 1076-1083, International Conference on Management Science and Engineering 2010, Melbourne, Victoria, Australia, 24/11/10. https://doi.org/10.1109/ICMSE.2010.5719931

Joint rating announcements by the three leading agencies: An analysis of realized volatility in Asian FX markets. / Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, Samantha et al.
2010 International Conference on Management Science and Engineering, ICMSE 2010. IEEE, Institute of Electrical and Electronics Engineers, 2010. p. 1076-1083.

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

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

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