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Sovereign credit ratings, market volatility and financial gains
Afonso, António; Gomes, Pedro; Taamouti, AbderrahimThe reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock and bond market ...
Data: 2014
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Origem: Repositório da UTL
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