Sovereign ratings, country risk and stock returns on selected ASEAN countries

Date of Publication

2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

atrick Caoile

Defense Panel Chair

Mar Andriel Umali

Defense Panel Member



Fahruddin Nawawi Tago

Michelle Brendy Ocampo Tan

Abstract/Summary

This research project studies the relationship that underlies sovereign credit ratings and economic stability of ASEAN emerging markets. In doing so, it tried to answer the general research question, How do sovereign credit ratings affect country risk and stock prices? Answering this general research problem entailed the collection and analysis of secondary qualitative and quantitative data, thus requiring the research proponents to adopt a two-pronged approach throughout the study-- an approach that was both descriptive and inferential.

According to the findings and results of the analysis in the first regression, it showed that this model where the dependent variable used was stock return revealed that the values were significant. This explains that stock returns are affected by its historical value it has a positive effect wherein the previous month's value increases, which also increases the present value. Sovereign outlook was added to the second regression as an explanatory variable to the first equation wherein only Fitch rating was found significant to stock returns like the first regression while sovereign outlook was found insignificant to stock returns in all 3 equation with 3 different CRAs. For the model with the country risk as the dependent variable, it shows that all 3 credit rating agencies were significant having a negative coefficient while only sovereign outlook for Moody's was found significant to country.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU19485

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

88, 4 leaves : illustrations (some color) ; 29 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Credit ratings--Southeast Asia; Stocks--Prices-- Southeast Asia

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