【作者】 闫俊娟； 田益祥；

【Author】 Junjuan Yan;Yixiang Tian;School Of Management And Economics,University Of Electronic Science And Technology;

【机构】 电子科技大学经济与管理学院；

【摘要】 主权信用评级下调引起的欧洲债务危机严重冲击全球经济。本文运用事件研究法,结合欧盟区五国、美国、日本及中国的股票市场数据,实证检验主权信用评级下调对欧洲内部国家,世界其它发达经济体及新兴国家中国市场的冲击。实证结果表明:主权信用评级的下调对欧洲五国股市的收益率产生相似的影响,累积异常收益率在事件窗都为显著的负值,相较于希腊,欧洲其它四国的累积异常收益率受影响的持续时间较短,数值较小。美国和日本股市的变化基本一致,而对中国股市的影响滞后且程度较小。更多还原

【Abstract】 European debt crisis impacts the global economy seriously.In this paper,we use the event study method,test impacts on the stock market of intra-European countries,the world’s other developed economies and China.The empirical results show that:the sovereign credit rating downgrade effects the stock of five European countries similarly,their cumulative abnormal returns in the event windows are significantly negative.Compared to Greece,the cumulative abnormal returns of the other four European countries have a shorter duration and a smaller value.Changes in U.S.and Japanese market are identical.The impact on China’s stock market is lagging,and it’s extent is smaller.更多还原