Differences of opinion in sovereign credit signals during the European crisis

Rasha Alsakka* (Corresponding Author), Owain ap Gwilym, Huong Vu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)


Motivated by the European debt crisis and the new European Union regulatory regime for the credit rating industry, we analyse differences of opinion in sovereign credit signals and their influence on European stock markets. Rating disagreements have a significant connection with subsequent negative credit actions by each agency. However, links among Moody’s/Fitch actions and their rating disagreements with other agencies have weakened in the post-regulation period. We also find that only S&P’s negative credit signals affect the own-country stock market and spill over to other European markets, but this is concentrated in the pre-regulation period. Stronger stock market reactions occur when S&P has already assigned a lower rating than Moody’s/Fitch prior to taking a further negative action.

Original languageEnglish
Pages (from-to)859-884
Number of pages26
JournalEuropean Journal of Finance
Issue number10
Early online date2 May 2016
Publication statusPublished - 9 Aug 2017


  • EU regulation of rating agencies
  • European debt crisis
  • sovereign credit signals
  • split rating
  • stock return


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