Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154087 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
ECB Working Paper No. 1654
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
The 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 volatility. Contagion is present, with sovereign rating announcements creating interdependence among European financial markets with upgrades (downgrades) in one country leading to a decrease (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction for portfolio returns when taking into account sovereign credit ratings’ information for volatility modelling, with financial gains decreasing with higher risk aversion.
Schlagwörter: 
EGARCH
financial gain
optimal portfolio
risk management
sovereign ratings
stock market returns
value-at-risk
volatility
yields
JEL: 
C22
C23
E44
G11
G15
H30
Dokumentart: 
Working Paper

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