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Sovereign Credit Rating Changes and Its Impact on Financial Markets of Europe during Debt Crisis Period in Greece and Ireland

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  • Fahad Bashir
  • Omar Masood
  • Abdullah Imran Sahi

Abstract

The purpose of this study is to examine the impact of sovereign credit rating changes on financial markets using database of two countries (Greece, Ireland) in the European union over the period March, 2008-Dec, 2015. By analyzing the influence of sovereign credit rating on bond market yield We also examine the correlation between sovereign credit rating and bond market yield of each country during crisis period. Quarterly basis data of all variables is used in the research. By using regression analysis with Durbin Watson test and Pearson correlation for each country financial markets the findings indicated that sovereign credit rating has a significant impact on bond markets. Sovereign ratings are negatively correlated with Bond yield in both countries. The finding summarized that credit rating has a major influence on financial markets during crisis period.

Suggested Citation

  • Fahad Bashir & Omar Masood & Abdullah Imran Sahi, 2017. "Sovereign Credit Rating Changes and Its Impact on Financial Markets of Europe during Debt Crisis Period in Greece and Ireland," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(4), pages 146-159, October.
    • Handle: RePEc:hur:ijaraf:v:7:y:2017:i:4:p:146-159
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    Cited by:

    1. Oliver Takawira & John W. Muteba Mwamba, 2022. "Sovereign Credit Ratings Analysis Using the Logistic Regression Model," Risks, MDPI, vol. 10(4), pages 1-24, March.

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