CREDIT RATING ANNOUNCEMENTS AND STOCK MARKET VOLATILITY DURING CRISES: Evidence from the MENA Region
- Noura Mahouachi
- Jamel Eddine Henchiri
- ( paper pages. 153 - 192 )
Abstract
The aim of this study is to assess the impact of rating change
announcements on Middle East and North Africa (MENA) stock market volatility
over the period December 2010 to August 2022. The study period covers two major
crises: the political crisis associated with the outbreak of the Arab Spring
and the COVID-19 health crisis. It focuses on 12 countries divided into emerging
countries and frontier countries. Using the exponential generalized
autoregressive conditional heteroscedasticity model (EGARCH) and a panel
regression, we better specify the impact of different rating change
announcements on the volatility of stock market returns. The results showed, first, that volatility
persisted over the study period in most countries. Second, the study found an
asymmetry in the reaction of stock market volatility to different rating
announcements. In times of crisis, these markets react strongly to downgrading
announcements and do not react to neutral or upgrade announcements. Third,
rating changes showed a lack of interdependence among stock markets in the MENA
region.
Citation
Noura Mahouachi, Jamel Eddine Henchiri.
2025.
"CREDIT RATING ANNOUNCEMENTS AND STOCK MARKET VOLATILITY DURING CRISES: Evidence from the MENA Region"
The Nigerian Journal of Economic and Social Studies,
67 (2): 153 - 192.
JEL Classification
E44, G24
