Özet:

The aim of this study is to reveal the impact of the country rating notes given by the rating agencies on the country’s stock exchanges. For this purpose, S&P, Moody's and Fitch rating agencies have studied the impact of the rating notes given to T-BRICS countries between 2004 and 2019 on the stock markets by the event study method. The presence of abnormal returns was studied within ±15, ±10, ±5 and ±1 day event windows in order to clearly reveal the effects of the event. The analysis found negative (positive) abnormal returns in the same direction as the negative (positive) event in some countries’ stock exchanges. In addition, some countries have concluded that their geographical positions could give different reactions to the same events. The analysis concluded that notations resulted in statistically significant cumulative abnormal return, average abnormal return and cumulative average abnormal return, and that the existing markets in the relevant countries were not effective in the semi-effective market form. Keywords: credit rating, country credit rating, T-BRICS, event study, abnormal return, cumulative abnormal return. JEL Classification: G14, G24, N20

Anahtar Kelimeler:

Özet:

The aim of this study is to reveal the effects of sovereign credit ratings given by the rating agencies on the stock exchanges of the countries. For this purpose, the effects of the ratings given by S&P, Moody’s and Fitch rating institutions for T-BRICS countries stock markets have been investigated by event study method between 2004-2019. The presence of abnormal returns have been examined within ± 15, ± 10, ± 5 and ± 1 day event windows in order to clearly demonstrate the effects of the event. As a result of the analysis, it has been found that negative (positive) event in the same direction of negative (positive) abnormal return in the stock exchanges of some countries. In addition, it has been concluded that some countries may react differently to the same events due to their geographical location. Finally it has been concluded that sovereign credit rating announcements caused statistically significant cumulative abnormal returns, average abnormal returns and cumulative average abnormal returns, consequently the current markets in the relevant countries were not semi-strong form efficiency. Key Words: Credit Rating, Sovereign Credit Rating, T-BRICS, Event Study, Abnormal Return, Cumulative Abnormal Return. JEL Classification: G14, G24, N20