Sensitivity of the Central and Eastern European Stock Market to Credit Rating Changes

• Authors: Chodnicka-Jaworska Patrycja

Title variants

PL

Wrażliwość rynku akcji Europy Środkowo-Wschodniej na zmiany credit ratingów

• Languages of publication: EN PL

Abstracts

EN

The aim of the paper is to verify the influence of credit rating changes on the rates of return on shares taking into account the size of the credit rating agency. A review of literature about the mentioned relationship by type of sector has been prepared. The following hypothesis is proposed: The banks’ share prices show a weaker reaction to credit rating changes than the entities outside the banking sector. The strongest impact of credit rating changes is observed for a downgrade. This hypothesis has been verified by using event study methods on data collected from Thomson Reuters Database through the years 1980 to 2015. The unobserved variables are long term issuer credit ratings given to banks and institutions outside the financial institutions. Rates of return on shares are used as observed variables.

PL

Celem artykułu jest weryfikacja wpływu zmian credit ratingu na stopy zwrotu z akcji z uwzględnieniem wielkości agencji ratingowej. Przygotowano przegląd literatury na temat wspomnianych zależności przy uwzględnieniu rodzaju sektora. Zaproponowano następującą hipotezę badawczą: ceny akcji banków słabiej reagują na zmiany credit ratingów niż podmioty spoza sektora bankowego. Najsilniejszy wpływ zmian ratingu obserwuje się w przypadku jego obniżenia. Weryfikacja tej hipotezy została przeprowadzona za pomocą metod badania zdarzeń na danych zebranych z Thomson Reuters Database dla lat 1980–2015. Nieobserwowane zmienne to długoterminowe credit ratingi emitenta nadane bankom i podmiotom niebędącym instytucjami finansowymi. Jako zmienne zależne stosuje się stopy zwrotu z akcji.

Keywords

EN

credit ratings; banking sector; non-financial sector; stock prices

PL

credit rating; sektor bankowy; sektor niefinansowy; ceny akcji

• Publisher: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
• Journal: Problemy Zarządzania
• Year: 2018
• Issue: 2/2018 (74)
• Pages: 46-61

Dates

published

2018-05-08

Contributors

author

Chodnicka-Jaworska Patrycja

• Faculty of Management, University of Warsaw

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Identifiers

ISSN

1644-9584

DOI

10.7172/1644-9584.74.2