A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries

Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models

“…However, in the short run only the reduced political and financial risk rating components have positive and significant impact on the Turkish market movements. Liu et al () show that the long‐run and short‐run relationships between the stock market and the three risk rating factors of each BRICS country respond asymmetrically and at different speeds to shocks for this group of the emerging stock markets, depending on the direction of the shock.…”

Does sovereign creditworthiness affect bank valuations in emerging markets?

“…Liu et al, 2013). Credit rating agencies (CRAs) are active in financial markets through disclosing credit information, which reduces information asymmetries and enables borrowers to access capital markets.…”

Do country risk and financial uncertainty matter for energy commodity futures?

“…Given that there is no clear prediction of how country risk may affect return, it is meaningful to distinguish the effects of country risk on commodity prices under different market states. Furthermore, several empirical studies have more precisely indicated that there is a nonlinear relationship among country risk, macroeconomic factors and stock market returns (T. Liu, Hammoudeh, & Thompson, 2013;Mensi, Hammoudeh, Yoon, & Balcilar, 2017;Mensi, Hammoudeh, Yoon, & Nguyen, 2016;Reboredo & Uddin, 2016). Mensi et al (2017) further indicate that these variables are sensitive to booms and busts in business cycles.…”