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
Date Written: Juli 5, 2014
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: Suggested Citation