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Journals / Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2020 / Cilt: 27 - Sayı: 2

The Impacts Of Credit Ratings On Stock Exchanges: A Research On T-BRICS Countries

Kredi Derecelendirmenin Borsa Endeksleri Üzerindeki Etkileri: T-BRICS Ülkeleri Üzerine Bir Araştırma

Musa OVALI
Turan KOCABIYIK
Umut Burak GEYİKÇİ
Pages
309–335
Publication Date
2020-08-24
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In addition, it has been concluded that some countries may react differently to the same events due to their geographical location.

📌 3 Key Takeaways

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Objective & Hypothesis:The aim of this study is to reveal the effects of sovereign credit ratings given by the rating agencies on the stock exchanges of the countries.
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Key Findings & Data:For this purpose, the effects of the ratings given by S&P, Moody’s and Fitch rating institutions for T-BRICS countries stock markets have been investigated by event study method between 2004-2019.
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Conclusion & Impact:In addition, it has been concluded that some countries may react differently to the same events due to their geographical location.
🔬Design:Research Article
📍Scope:2004-2019 Verileri
⚙️Variables:Anahtar Kelimeler Ülke Kredi Derecelendirme · Olay Çalışması · Anormal Getiri

Abstract

The aim of this study is to reveal the effects of sovereign credit ratings given by the rating agencies on the stock exchanges of the countries. For this purpose, the effects of the ratings given by S&P, Moody’s and Fitch rating institutions for T-BRICS countries stock markets have been investigated by event study method between 2004-2019. The presence of abnormal returns have been examined within ± 15, ± 10, ± 5 and ± 1 day event windows in order to clearly demonstrate the effects of the event. As a result of the analysis, it has been found that negative (positive) event in the same direction of negative (positive) abnormal return in the stock exchanges of some countries. In addition, it has been concluded that some countries may react differently to the same events due to their geographical location. Finally it has been concluded that sovereign credit rating announcements caused statistically significant cumulative abnormal returns, average abnormal returns and cumulative average abnormal returns, consequently the current markets in the relevant countries were not semi-strong form efficiency.Key Words: Credit Rating, Sovereign Credit Rating, T-BRICS, Event Study, Abnormal Return, Cumulative Abnormal Return. JEL Classification: G14, G24, N20

Özet

Bu çalışmanın amacı derecelendirme kuruluşları tarafından verilen ülke derecelendirme notlarının ülkelerin borsa endeksleri üzerindeki etkilerini ortaya koymaktır. Bu amaçla, S&P, Moody’s ve Fitch derecelendirme kuruluşları tarafından 2004-2019 yılları arasında T-BRICS ülkelerine verilen derecelendirme notlarının hisse senedi piyasaları üzerine etkileri olay çalışması yöntemiyle incelenmiştir. Anormal getirilerin varlığı, olayın etkilerini açık bir şekilde ortaya koyabilmek amacıyla ±15, ±10, ±5 ve ±1 günlük olay pencereleri dahilinde incelenmiştir. Analiz sonucunda bazı ülkelerin borsa endekslerinde negatif (pozitif) olayla aynı yönde negatif (pozitif) anormal getiriler tespit edilmiştir. Ek olarak bazı ülkelerin ise coğrafi konumları itibarıyla aynı olaylar karşısında farklı tepkiler verebildiği sonucuna ulaşılmıştır. Analiz sonucunda not duyurularının istatistiki olarak anlamlı kümülatif anormal getiri, ortalama anormal getiri ve kümülatif ortalama anormal getiriye yol açtığı tespit edilmiş, ilgili ülkelerdeki mevcut piyasaların yarı-etkin piyasa formunda etkin olmadığı sonucuna ulaşılmıştır. Anahtar Kelimeler: Kredi Derecelendirme, Ülke Kredi Derecelendirme, T-BRICS, Olay Çalışması, Anormal Getiri, Kümülatif Anormal Getiri. JEL Sınıflandırması: G14, G24, N20

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Cite This Article

OVALI, M., KOCABIYIK, T., GEYİKÇİ, U. B. (2020). The Impacts Of Credit Ratings On Stock Exchanges: A Research On T-BRICS Countries. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 27 - Sayı: 2, 309–335. https://ajindex.com/articles/87906

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