Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Emawtee Bissoondoyal-Bheenick Department of Accounting and Finance, Monash University, Melbourne, VIC 3145, AustraliaCorrespondence[email protected]

Robert Brooks Department of Econometrics and Business Statistics, Monash University, Melbourne, VIC 3145, Australia

Samantha Hum Department of Econometrics and Business Statistics, Monash University, Melbourne, VIC 3145, Australia

Sirimon Treepongkaruna Department of Accounting and Finance, Monash University, Melbourne, VIC 3145, Australia

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Yasir Riaz, Choudhry Tanveer Shehzad & Zaghum Umar. (2019) Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?. Applied Economics 51:15, pages 1588-1601.
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Jan Brůha & Evžen Kočenda. (2018) Financial stability in Europe: Banking and sovereign risk. Journal of Financial Stability 36, pages 305-321.
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C. Justin RobinsonProsper Bangwayo-Skeete. (2017) Semi-strong Form Market Efficiency in Stock Markets with Low Levels of Trading Activity: Evidence from Stock Price Reaction to Major National and International Events. Global Business Review 18:6, pages 1447-1464.
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Laura Andrade-Pardo, Oscar Valencia-Arana, Diego Vásquez-Escobar & Mauricio Villamizar-Villegas. (2016) Uncovering the portfolio balance channel with the use of sovereign credit ratings. Ensayos sobre Política Económica 34:81, pages 191-205.
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Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

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Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

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