The Impact of Sovereign Credit Rating News on Credit Default Swap Spreads

被引：1

作者：

Gursoy, Ovunc ^{[1
]}

Avci, Emin ^{[1
]}

机构：

[1] Marmara Univ, Dept Finance & Accounting, Istanbul, Turkey

来源：

JOURNAL OF EAST-WEST BUSINESS | 2023年 / 29卷 / 02期

关键词：

CDS spreads; credit ratings; event study; sovereign debt; STOCK RETURNS; BAD-NEWS; BOND; MARKETS; ANNOUNCEMENTS; AGENCIES; INFORMATION; ADJUSTMENT;

D O I：

10.1080/10669868.2022.2115182

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper explores the impact of sovereign credit rating news from three credit rating agencies, namely Moody's, Fitch, and Standard & Poors, on credit default swaps (CDS). We use an event study methodology to analyze how CDS spread reacts to sovereign CR (Credit Rating) rating news in 31 countries between 2005 and 2018. The effects of rating news on CDS spread are conditional on the prior status of the rating watch or outlook. The results show that CDS spreads respond significantly more toward negative rating news. We find that sovereign rating announcements have different effects in developed and emerging markets.

引用

页码：97 / 113

页数：17

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