Impact of the Credit Rating Revision on the Eurozone Stock Markets

Authors

  • Mohamed Ali Trabelsi Faculty of Economics and Management of Tunis, University of Tunis El Manar
  • Salma Hmida University of Tunis El Manar

DOI:

https://doi.org/10.14665/1614-4007-26-1-001

Keywords:

Financial contagion, European debt crisis, Dynamic conditional correlations

Abstract

The contagion generated by the US subprime crisis and the European sovereign debt crisis that hit the Eurozone stock markets is still a highly debated subject. In this paper, we try to analyze the revision effect of the credit ratings of the Eurozone countries.

To this end, we used a bivariate DCC-GARCH model to measure the extent of dynamic correlations between stock returns of our sample. Our results indicate that credit ratings revisions have a relatively limited effect on the dynamic correlations of the Eurozone stock markets.

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Published

2019-05-06

How to Cite

Trabelsi, M. A., & Hmida, S. (2019). Impact of the Credit Rating Revision on the Eurozone Stock Markets. Journal Transition Studies Review, 26(1), 3-14. https://doi.org/10.14665/1614-4007-26-1-001

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Papers