Arezki, Rabah; Candelon, Bertrand; Sy, Amadou - 2011
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007 … both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of … announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However …