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The Comparison Analysis of Determinant Sovereign Credit Rating and its Impact to Stock Market (Evidence for the Emerging Market Countries)

13 Pages Posted: 10 Jan 2015 Last revised: 30 Jun 2017

Ahmad Hamdi

Center for Management & Business Studies (LMFE)

Nanny Dewi

Padjadjaran University - Faculty of Economics and Business

Aldrin Herwany

Universitas Padjadjaran - Faculty of Economics and Business; Padjadjaran University - Center for Management & Business Studies (LMFE)

Date Written: Juli 5, 2014

Abstract

The purpose of this research is to (1) analyze the influence of the selected macroeconomic factors to sovereign rating in emerging market country which published by Moodys and Fitch, (2) compare the valuation issued by these rating agency, to determine which one is better in doing the assessment, (3) is sovereign rating affect the return in stock index. This research is using panel regression and t-test for equality of mean and reinforced by MAE and MAPE method. The result of this research are: (1) GDP/Capita, Debt/Capita, Inflation, CPI and Reserves are significantly affect sovereign rating issued by Moodys and Fitch (2) Fitch is better in terms of the rating assessment compared to Moodys (3) sovereign rating have a positive impact on the index’s return in the emerging market country.

Keywords: Sovereign Credit Rating, Fitch, Moodys, Stock Return, Emerging Market

JEL Classification: C21, G15

Suggested Citation

Hamdi, Ahmad and Dewi, Nanny and Herwany, Aldrin, The Comparison Analysis of Determinant Sovereign Credit Rating and its Impact to Stock Market (Evidence for the Emerging Market Countries) (Juli 5, 2014). Available at SSRN: https://ssrn.com/abstract=2420718 or http://dx.doi.org/10.2139/ssrn.2420718

Ahmad Hamdi (Contact Author)

Center for Management & Business Studies (LMFE) ( email )

Jl. Cimandiri No. 8
Bandung, West Java 40115
Indonesia

Nanny Dewi

Padjadjaran University - Faculty of Economics and Business ( email )

Jalan Dipati Ukur No. 46 Bandung
Jalan Dipati Ukur No. 35 Bandung
Bandung, West Java 40132
Indonesia

Aldrin Herwany

Universitas Padjadjaran - Faculty of Economics and Business ( email )

Jl. Dipatiukur 35
Jl Cimandiri No. 8
Bandung, West Java 40132
Indonesia

Padjadjaran University - Center for Management & Business Studies (LMFE) ( email )

Jl. Cimandiri No. 8
Bandung, West Java 40132
Indonesia
+62224239954 (Phone)
+62224239954 (Fax)

HOME PAGE: http://www.lm.fe.unpad.ac.id/

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