Impact of the Credit Rating Revision on the Eurozone Stock Markets
DOI:
https://doi.org/10.14665/1614-4007-26-1-001Keywords:
Financial contagion, European debt crisis, Dynamic conditional correlationsAbstract
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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