THE EMPIRICAL STUDY OF THE IMPACT OF CREDIT RATING AGENCIES ANNOUNCEMENTS ON THE BEHAVIOR OF STOCK MARKETS IN EUROPEAN COUNTRIES

The literature shows that the influence of credit rating changes on stock markets Er. is ambiguous. It depends on such factors as: the length of the research period, LTK which country is analyzed, which market is analyzed, which companies are researched, the fact if the decrease or the increase is in question. Considering the research period from January 2004 to June 2016, the author checks if the decrease of the rating category by Standard &Poor's can influence the volatility of rates of return on most important stock indexes for chosen European countries during just one observation day.