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Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis

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  • Amir Saadaoui
  • Mohamed Kriaa

Abstract

This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. We analyze the bond liquidity markets across five countries such as Poland, Greece, Spain, Hungary and Turkey. The sample includes daily data about sovereign bonds over the period ranging from July 2009 to January 2014.We mainly focus on the period before and after the sovereign debt crisis. We note that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.

Suggested Citation

  • Amir Saadaoui & Mohamed Kriaa, 2019. "Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis," Business and Management Research, Business and Management Research, Sciedu Press, vol. 8(2), pages 1-9, June.
    • Handle: RePEc:jfr:bmr111:v:8:y:2019:i:2:p:1-9
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    References listed on IDEAS

    as
    1. Deb, Pragyan & Manning, Mark & Murphy, Gareth & Penalver, Adrian & Toth, Aron, 2011. "Financial Stability Paper No 9: Whither the Credit Ratings Industry?," Bank of England Financial Stability Papers 9, Bank of England.
    2. Warga, Arthur, 1992. "Bond Returns, Liquidity, and Missing Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 605-617, December.
    3. Borensztein, Eduardo & Cowan, Kevin & Valenzuela, Patricio, 2013. "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4014-4024.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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