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The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405

The Effects of Sovereign Rating Drifts on Financial Return Distributions : Evidence from the European Union

Do, Hung Xuan - 2016

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies (CRAs)' sovereign credit re-ratings on European stock and currency return distributions via their first four realized...

Persistent link: https://www.econbiz.de/10013007995

Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments

Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799

Persistent link: https://www.econbiz.de/10011442342

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003

Persistent link: https://www.econbiz.de/10009317447

Portfolio's weighted political risk and mutual fund performance : a text-based approach

Huong Giang Nguyen; Hoang, Khanh; Nguyen, Quan M. P.; … - In: Finance research letters 66 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015061194

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets : evidence from the Asian financial crisis

Sirimon Treepongkaruna; Eliza, Wu - In: Research in international business and finance 26 (2012) 3, pp. 335-352

Persistent link: https://www.econbiz.de/10009615550

The Effects of Ratings-Contingent Regulation on International Bank Lending Behaviour : Evidence from the Basel 2 Accord

Hasan, Iftekhar - 2015

We investigate the effects of credit ratings-contingent financial regulation on foreign bank lending behavior. We examine the sensitivity of international bank flows to debtor countries' sovereign credit rating changes before and after the implementation of the Basel 2 risk-based capital...

Persistent link: https://www.econbiz.de/10013030630

International bank flows to emerging markets : influence of sovereign credit ratings and their regional spillover effects

Kim, Suk-Joong; Wu, Eliza - In: The journal of financial research 34 (2011) 2, pp. 331-364

Persistent link: https://www.econbiz.de/10009373646

The effects of ratings-contingent regulation on international bank lending behavior : evidence from the Basel 2 Accord

Hasan, Iftekhar; Kim, Suk-Joong; Wu, Eliza - 2014

Persistent link: https://www.econbiz.de/10010416867

Interpreting sovereign spreads

Remolona, Eli M.; Scatigna, Michaela; Wu, Eliza - In: BIS quarterly review : international banking and … (2007), pp. 27-39

Persistent link: https://www.econbiz.de/10003444284