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The Impact of Country Risk Rating on the Returns and Volatility of East Asia Stock Markets
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국가위험등급의 변화가 동아시아 주식시장의 수익률과 변동성에 미치는 영향

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Type
Academic journal
Author
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제20권 제2호 KCI Accredited Journals
Published
2018.1
Pages
693 - 705 (13page)

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The Impact of Country Risk Rating on the Returns and Volatility of East Asia Stock Markets
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This study aims to uncover the impact of country risk rating on the returns and volatility of East Asia stock markets. For this purpose, we estimated the impact of the PRS group country risk rating changes on the MSCI monthly indices for the period from Dec. 1992 to Dec. 2017 using AR-GARCH model, and statistically investigated the effect of composite, economic, financial and political country risk rating to the returns and volatility of those stock markets. The major findings of this study can be summarized as follows. First, mostly the changes of country risk rating do not make an impact on the returns and volatility of East Asia stock markets, implying that the common notion among the investors is not true. Second, exceptionally, it is found that the changes of country risk rating significantly affect the returns and volatility of Korean stock market. To put it concretely, increase in composite and financial risk ratings (i.e., decrease in overall country risk and financial risk) results in reduction of stock market volatility. Moreover, increase in financial risk rating (i.e., decrease in financial risk) results in higher returns in Korean stock market.
#Country risk rating #East Asia stock markets #Returns #Volatility #Investment risk.

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References (29)

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Almahmoud, A. I. / 2014 / Country risk ratings and stock market movements: evidence from emerging economy / International Journal of Economics and Finance 6(10):88~96 google schola Alsakka, R. / 2012 / Foreign exchange market reactions to sovereign credit news / Journal of International Money and Finance 31(4):845~864 Crossref Bissoondoyal-Bheenick, E. / 2015 / The credit risk-return puzzle: impact of credit rating announcements in Australia and Japan / Pacific-Basin Finance Journal 35:37~55 Crossref Bissoondoyal-Bheenick, E. / 2014 / Rating spillover effects on the stock markets / Journal of Multinational Financial Management 25-26:51~63 Crossref Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31(3):307~327 Crossref

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