These results reveal that it is necessary to take preventive measures against information leakage before the announcement of the ratings assessments.
📌 3 Maddede Bu Makale
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Amaç & Hipotez:This paper aims to empirically test the impact of Turkey’s sovereign credit rating downgrades by three major credit rating agencies on the Borsa İstanbul equity market prior to the official announcement, and to ascertain whether any significant impact found is due to market players’ accurate forecasting or information leakages.
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Temel Bulgular & Veri:In this paper, the effects of nine downgrade announcements between 2016 and 2018 are analyzed using the Event Study method.
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Sonuç & Katkı:These results reveal that it is necessary to take preventive measures against information leakage before the announcement of the ratings assessments.
🔬Tür:Araştırma Makalesi
📍Kapsam:2016 Verileri
⚙️Değişkenler:Sovereign Credit Rating · Information Leakage · Insider Trading
Abstract
This paper aims to empirically test the impact of Turkey’s sovereign credit rating downgrades by three major credit rating agencies on the Borsa İstanbul equity market prior to the official announcement, and to ascertain whether any significant impact found is due to market players’ accurate forecasting or information leakages. In this paper, the effects of nine downgrade announcements between 2016 and 2018 are analyzed using the Event Study method. In eight of the nine events, statistically significant negative cumulative abnormal returns were estimated during the five trading days before the announcement. Evidence suggests that three of the eight events reflected information leakage to the market, and five indicated sound forecasting by market players alongside some information leakage. These results reveal that it is necessary to take preventive measures against information leakage before the announcement of the ratings assessments.
KILIÇ, S., ALP, A., DELİKANLI, İ. U. (2021). GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 42 - Sayı: 2, 327–339. https://ajindex.com/articles/81509
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