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

Research output: Contribution to journal › Article › peer-review

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Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets. / Tran, Vu ; Alsakka, Rasha; ap Gwilym, Owain.
In: European Journal of Finance, Vol. 25, No. 13, 02.09.2019, p. 1211-1233.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Tran, V, Alsakka, R & ap Gwilym, O 2019, 'Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets', European Journal of Finance, vol. 25, no. 13, pp. 1211-1233. https://doi.org/10.1080/1351847X.2019.1586743

APA

Tran, V., Alsakka, R., & 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), 1211-1233. https://doi.org/10.1080/1351847X.2019.1586743

CBE

Tran V, Alsakka R, 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):1211-1233. https://doi.org/10.1080/1351847X.2019.1586743

MLA

Tran, Vu , Rasha Alsakka, and Owain ap Gwilym. "Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets". European Journal of Finance. 2019, 25(13). 1211-1233. https://doi.org/10.1080/1351847X.2019.1586743

VancouverVancouver

Tran V, Alsakka R, ap Gwilym O. Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets. European Journal of Finance. 2019 Sept 2;25(13):1211-1233. Epub 2019 Mar 14. doi: 10.1080/1351847X.2019.1586743

Author

Tran, Vu ; Alsakka, Rasha ; ap Gwilym, Owain. / Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets. In: European Journal of Finance. 2019 ; Vol. 25, No. 13. pp. 1211-1233.

RIS

TY - JOUR

T1 - Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets

AU - Tran, Vu

AU - Alsakka, Rasha

AU - ap Gwilym, Owain

N1 - 2019 Taylor & Francis. This is the author accepted manuscript. The final version is available from Taylor & Francis via https://doi.org/10.1080/1351847X.2019.1586743.

PY - 2019/9/2

Y1 - 2019/9/2

N2 - 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.

AB - 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.

KW - Sovereign credit ratings

KW - information content

KW - market heterogeneity

KW - price volatility

U2 - 10.1080/1351847X.2019.1586743

DO - 10.1080/1351847X.2019.1586743

M3 - Article

VL - 25

SP - 1211

EP - 1233

JO - European Journal of Finance

JF - European Journal of Finance

SN - 1351-847X

IS - 13

ER -