The Dynamics of BRICS's Country Risk Ratings and Stock Markets, U.S. Stock Market and Oil Price

Hammoudeh, Shawkat; Sarı, Ramazan; Liu, Tengdong; Uzunkaya, Mehmet

doi:10.2139/ssrn.1894210

Cited by 5 publications

(3 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The above result suggest that both the economic risk and the financial risk are inter twined. This result is consistent with the findings of Hammoudeh et al (2011) who find similar results in some of the emerging economies of the BRICS group. There is reduced or insignificant political risk sensitivity to other variables as compared to the financial and economic risks.…”

Section: Estimating Long-run and Short-run Relationshipssupporting

confidence: 92%

“…Therefore, the TASI index, economic and political risk ratings are forcing variables of the financial risk rating. This is consistent with the findings of Hammoudeh et al (2011) for the emerging economies of BRICS.…”

Section: Bounds Testing and Long-run Relationshipssupporting

confidence: 92%

“…This is consistent with the findings of Sari, Uzunkaya & Hamoudey (2013) who investigated the relationship between disaggregated country risk ratings and stock market movements of Turkey. Hammoudeh et al (2011) who examined the dynamics of BRICS's country risk rating and stock markets also find similar results in three of the BRICS member countries.…”

Section: Bounds Testing and Long-run Relationshipsmentioning

confidence: 57%

See 2 more Smart Citations

Country Risk Ratings and Stock Market Movements: Evidence from Emerging Economy

Almahmoud¹

2014

IJEF

View full text Add to dashboard Cite

The empirically relationship between Saudi Arabia's country risk ratings; political, economic, and financial components and its stock market movements is examine from both short and long-run perspectives in this paper. The Autoregressive Distributed Lag (ARDL) methodology is the main instrument of investigation to explore their interdependencies. We find that the country credit risk ratings have a close association with the Saudi Arabia stock market movements. The financial risk factor displays the highest level of sensitivity among all the credit risk ratings. It is sensitive to both economic risk rating and the stock market returns. This development implies that financial risk indicators such as foreign debt servicing, current account balance and exchange rate stability among others should be considered before any strategic investment decision in the country. There is reduced or insignificant political risk sensitivity to other variables. This shows that political risk rating issues are relatively the least considered in Saudi Arabia as shown in this study.

show abstract

Section: Estimating Long-run and Short-run Relationshipssupporting

confidence: 92%

Section: Bounds Testing and Long-run Relationshipssupporting

confidence: 92%

Section: Bounds Testing and Long-run Relationshipsmentioning

confidence: 57%

See 1 more Smart Citation