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Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach
16 references·1 citing·48 second hop
Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach (2020)Credit ratings and predictability of stoc…Forecasting Stock Returns (2013)Forecasting Stock ReturnsSovereign credit ratings and financial markets linkages: Application to European data (2012)Sovereign credit ratings and …A consistent nonparametric test for nonlinear causality—Specification in time series regression (2011)A consistent nonparametric te…A new statistic and practical guidelines for nonparametric Granger causality testing (2006)A new statistic and practical…News spillovers in the sovereign debt market (2005)News spillovers in the sovere…Macro variables and international stock return predictability (2004)Macro variables and internati…Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements (2004)Informational efficiency of c…Informational effects of regulation FD: evidence from rating agencies (2004)Informational effects of regu…The national market impact of sovereign rating changes (2003)The national market impact of…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? (2002)Emerging Market Instability: …Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…A test for independence based on the correlation dimension (1996)A test for independence based…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics (2021)Global financial uncertaintie…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Common risk factors in the returns on stocks and bonds (1993)Cross-Sectional Determinants of Analyst Ratings of Corporate Disclosures (1993)Corporate Disclosure Policy and Analyst Behavior. 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(2004)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)The Pricing of Options and Corporate Liabilities (1973)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Economic policy uncertainty and stock market volatility (2015)Short interest and aggregate stock returns (2016)Geopolitical risks and stock market dynamics of the BRICS (2018)Valuation effects of security offerings and the issuance process (1986)Sovereign Debt: Is To Forgive To Forget? (1988)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Country Spreads and Emerging Countries: Who Drives Whom? (2003)Sovereign Borrowing by Developing Countries: What Determines Market Access? (2004)Causality detection based on information-theoretic approaches in time series analysis (2007)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Global Capital and National Governments (2001)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)The pricing of sovereign risk and contagion during the European sovereign debt crisis (2012)
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References

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  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
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  • 2004Informational effects of regulation FD: evidence from rating agencies505 cited
  • 1996Determinants and Impact of Sovereign Credit Ratings460 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 2002Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?399 cited
  • 2005News spillovers in the sovereign debt market378 cited
  • 2012Sovereign credit ratings and financial markets linkages: Application to European data375 cited
  • 2004Macro variables and international stock return predictability351 cited
  • 2011A consistent nonparametric test for nonlinear causality—Specification in time series regression

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314 cited
  • 2003The national market impact of sovereign rating changes303 cited
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    • 2021Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics65 cited