The Effects of Sovereign Ratings Changes on Turkey's Stock Market

This study examined the impacts of upgrades and downgrades by the three big major rating agencies (Standard and Poor's, Moody's and Fitch) on Turkey's stock market. §The Istanbul Stock Exchange National 100 Index (XU100) was used as stock market indicators. The data set covers the per...

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Bibliographic Details
Published in:Journal of applied finance and banking 2013-11, Vol.3 (6), p.87
Main Author: Kabadayi, Burhan
Format: Article
Language:English
Subjects:
Credit ratings
Emerging markets
GDP
Gross Domestic Product
Impact analysis
Interest rates
International finance
Liberalization
Literature reviews
Per capita
Rates of return
Rating services
Ratings & rankings
Regression analysis
Securities markets
Stock exchanges
Studies
Time series
Variables
Volatility
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Summary:This study examined the impacts of upgrades and downgrades by the three big major rating agencies (Standard and Poor's, Moody's and Fitch) on Turkey's stock market. §The Istanbul Stock Exchange National 100 Index (XU100) was used as stock market indicators. The data set covers the period 1995 and 2011 and quarterly data was used. Control variables were growth rate of GDP per capita and real interest rates. The findings show that rating changes significantly affect the XU100 and vice-versa. GDP growth per capita affects XU100 positively and real interest rates negatively. [PUBLICATION ABSTRACT]
ISSN:1792-6580
1792-6599