Accessibility navigation


Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets

Tran, V., Alsakka, R. and ap Gwilym, O. (2019) Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets. European Journal of Finance, 25 (13). pp. 1211-1233. ISSN 1466-4364

[img] Text - Accepted Version
· Restricted to Repository staff only until 14 September 2020.

810kB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1080/1351847X.2019.1586743

Abstract/Summary

We propose a model in which sovereign credit news from multiple rating agencies interacts with market heterogeneity. The model illustrates that the first messenger discloses new information while additional messengers play an important role of coordinating heterogeneous beliefs. Empirical investigations based on sovereign credit ratings, foreign exchange and equity markets confirm that rating news coordinates investors’ beliefs. Sovereign credit rating news from both types of messenger induces a significant impact on exchange rates and stock indices. Volatility measures increase in response to news from the first messenger while ex-post volatility reduces following news from an additional messenger.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:88901
Publisher:Taylor and Francis

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation