Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes
The aim of the paper is to verify the influence of credit rating changes on the rates of return on shares taking into account the size of the credit rating agency. A review of literature about the mentioned relationship by type of sector has been prepared. The following hypothesis is proposed: The b...
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| Format: | Article |
| Language: | English |
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Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2018-05-01
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| Series: | Problemy Zarządzania |
| Subjects: | |
| Online Access: | http://pz.wz.uw.edu.pl/gicid/01.3001.0012.2281 |
| _version_ | 1818878589825712128 |
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| author | dr Patrycja Chodnicka-Jaworska |
| author_facet | dr Patrycja Chodnicka-Jaworska |
| author_sort | dr Patrycja Chodnicka-Jaworska |
| collection | DOAJ |
| description | The aim of the paper is to verify the influence of credit rating changes on the rates of return on shares taking into account the size of the credit rating agency. A review of literature about the mentioned relationship by type of sector has been prepared. The following hypothesis is proposed: The banks’ share prices show a weaker reaction to credit rating changes than the entities outside the banking sector. The strongest impact of credit rating changes is observed for a downgrade. This hypothesis has been verified by using event study methods on data collected from Thomson Reuters Database through the years 1980 to 2015. The unobserved variables are long term issuer credit ratings given to banks and institutions outside the financial institutions. Rates of return on shares are used as observed variables.
JEL: G14, G15, G21
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The creation of the English-language version of these publications is fi nanced in the framework of contract No. 607/P-DUN/2018 by the Ministry of Science and Higher Education committed to activities aimed at the promotion of education. |
| first_indexed | 2024-12-19T14:16:35Z |
| format | Article |
| id | doaj.art-2e766f7a782240409f1f343b15942f9c |
| institution | Directory Open Access Journal |
| issn | 1644-9584 |
| language | English |
| last_indexed | 2024-12-19T14:16:35Z |
| publishDate | 2018-05-01 |
| publisher | Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego |
| record_format | Article |
| series | Problemy Zarządzania |
| spelling | doaj.art-2e766f7a782240409f1f343b15942f9c2022-12-21T20:17:58ZengWydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu WarszawskiegoProblemy Zarządzania1644-95842018-05-01162(74) Financial markets...466110.7172/1644-9584.74.201.3001.0012.2281Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changesdr Patrycja Chodnicka-Jaworska0University of Warsaw Faculty of ManagementThe aim of the paper is to verify the influence of credit rating changes on the rates of return on shares taking into account the size of the credit rating agency. A review of literature about the mentioned relationship by type of sector has been prepared. The following hypothesis is proposed: The banks’ share prices show a weaker reaction to credit rating changes than the entities outside the banking sector. The strongest impact of credit rating changes is observed for a downgrade. This hypothesis has been verified by using event study methods on data collected from Thomson Reuters Database through the years 1980 to 2015. The unobserved variables are long term issuer credit ratings given to banks and institutions outside the financial institutions. Rates of return on shares are used as observed variables. JEL: G14, G15, G21 null The creation of the English-language version of these publications is fi nanced in the framework of contract No. 607/P-DUN/2018 by the Ministry of Science and Higher Education committed to activities aimed at the promotion of education.http://pz.wz.uw.edu.pl/gicid/01.3001.0012.2281credit ratingsbanking sectornon-financial sectorstock prices |
| spellingShingle | dr Patrycja Chodnicka-Jaworska Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes Problemy Zarządzania credit ratings banking sector non-financial sector stock prices |
| title | Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes |
| title_full | Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes |
| title_fullStr | Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes |
| title_full_unstemmed | Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes |
| title_short | Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes |
| title_sort | sensitivity of the central and eastern european stock market to credit rating changes |
| topic | credit ratings banking sector non-financial sector stock prices |
| url | http://pz.wz.uw.edu.pl/gicid/01.3001.0012.2281 |
| work_keys_str_mv | AT drpatrycjachodnickajaworska sensitivityofthecentralandeasterneuropeanstockmarkettocreditratingchanges |