Joint Rating Announcements by the Three Leading Agencies: An Analysis of Realized Volatility in Asian FX Markets

被引：0

作者：

Bissoondoyal-Bheenick, Emawtee ^{[1
]}

Brooks, Robert ^{[2
]}

Hum, Samantha ^{[2
]}

Treepongkaruna, Sirimon ^{[1
]}

机构：

[1] Monash Univ, Dept Accounting & Finance, Melbourne, Vic 3004, Australia

[2] Monash Univ, Dept Econometr & Business Stat, Melbourne, Vic 3004, Australia

来源：

2010 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING (ICMSE) | 2010年

关键词：

foreign exchange market; joint ratings changes; realized volatility; sovereign rating changes; standard and poors; SOVEREIGN; MODELS;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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.

引用

页码：1076 / 1083

页数：8

共 18 条

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