Η επίδραση των οίκων αξιολόγησης στις χρηματοοικονομικές τιμές τραπεζών σε αναπτυγμένες και αναπτυσσόμενες χώρες με τη μέθοδο της συνολοκλήρωσης

Τσουπαρέλου, Σοφία

The impact of credit rating on stock prices of commercial banks for developed and developing countries using the co-integration method

Master Thesis

Author

Τσουπαρέλου, Σοφία

Date

2017-11

View/Open

Μεταπτυχιακή διατριβή (1.422Mb)

Keywords

Αιτιότητα κατά Granger ; Αξιολόγηση πιστοληπτικής ικανότητας ; Αναπτυγμένες χώρες ; Αναπτυσσόμενες χώρες ; Οίκοι αξιολόγησης ; Πιστωτικό περιθώριο ; Σύμβαση ανταλλαγής κινδύνου αθέτησης ; Συνολοκλήρωση ; Χρηματοοικονομικές τιμές τραπεζών ; Granger causality ; Credit rating ; Developed countries ; Developing countries ; Credit rating agencies ; Credit spread ; Credit default swaps ; Co-integration ; Stock prices of commercial banks

Abstract

The main purpose of this study is to examine the impact and the role of the credit rating agencies in the stock prices of commercial banks. In particular, this study investigates the function of those organizations on stock prices of developed and developing countries using the co-integration method. It probes the relationship between stock prices yields and the corresponding CDS prices (Credit Default Swaps). In addition, this study investigates the impact of credit rating and in which way it is correlated and associated with the CDS prices. Therefore, the reported investigation based on data of 8 European countries for the 10 years old period between 2005 and 2014. This term is separated in three individual periods of time and in particular, the time period before the financial crisis of 2007, the entire period of the European dept crisis and then the recovery period of time. The data that have been used, they came from four developed countries (Austria, Belgium, France and Netherland) and from four developing countries (Ireland, Spain, Italy and Portugal). The first group of countries is affected in low degree but the second group of countries has faced serious problems with terrible effects.