PL EN


2016 | 301 | 7-24
Article title

Wpływ zmian credit ratingów na rynek CDS-ów w krajach europejskich - analiza zdarzeń

Content
Title variants
EN
The impact of credit rating changes on the CDS market in European countries - event study
Languages of publication
PL
Abstracts
PL
W artykule zbadano i przeanalizowano wpływ zmian credit ratingów nadawanych krajom europejskim na koszt premii swapów ryzyka kredytowego (CDS-ów). Założono istotność statystyczną ponadnormalnych stóp zwrotu w wyniku zmian ocen ratingowych nadawanych przez agencje. Postawiono hipotezę, że zmiany ratingów dostarczają nowych informacji, co prowadzi do uzyskiwania istotnych ponadnormalnych stóp zwrotu. Do badania wykorzystano ratingi nadawane przez Standard & Poor’s i Moody’s dla okresu od 1 stycznia 2005 r. do 1 listopada 2015 r. oraz spready pięcioletnich niezabezpieczonych CDS-ów. Do zweryfikowania postawionej hipotezy zastosowano metodę analizy zdarzeń przy użyciu danych dziennych.
EN
The paper examines and analyses the impact of the credit ratings changes of the European countries on the cost of credit default swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is hypothesized that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard & Poor's and Moody's for the period from 1 January 2005 to 1 November 2015 and spreads for fiveyear senior unsecured CDS. To verify the hypothesis it is applied the event study method by using daily data.
Year
Volume
301
Pages
7-24
Physical description
Contributors
  • Uniwersytet Warszawski. Wydział Zarządzania. Katedra Systemów Finansowych Gospodarki
References
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.cejsh-57f35c30-1eeb-4a0e-80b5-0e3596dbb41c
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