Life after debt: The relevance of sovereign ratings on stock market development

Date of Publication


Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions


Ramon V. Del Rosario College of Business


Financial Management


Outstanding undergraduate thesis in Financial Management, 2017


This study examines the impact of sovereign credit ratings issued by Standard & Poor's on the stock market development of the ASEAN-5 nations from 1996 to 2015 while controlling for the economic and political factors related fo the literature. By using the one-way fixed-effects least squares dummy variable (LSDV) model, the study concluded that different measures of stock market development are not affected by the ratings. Specifically, the results are as follows: i) Long term local currency ratings, short term local currency ratings, and long-term foreign currency ratings only had minimal contributions to the development of the stock market. ii) Short-term foreign currency ratings significantly affect stock market capitalization and turnover, iii) Governance indicators and economic variables have a remarkable relationship with the liquidity and size of the stock market, and iv) the different of the stock market development produced different country rankings. Upon integrating the details from each stock market measure into a single information through principal component analysis, results showed that Thailand has the most developed stock market while Singapore has the least developed. This research produced results that would help the government and investors among others in formulating policies and in making investment decisions.

Abstract Format






Accession Number


Shelf Location

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

Physical Description

ii, 138 leaves ; 29 cm.


Investments; Foreign -- South Asia; Credit ratings -- South Asia

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