Do long-term foreign currency sovereign credit ratings positively affect bond and equity market efficiency in Africa?. (23rd December 2020)

• Record Type: Journal Article
• Authors: Mutize, Misheck; Gossel, Sean J.
• Is Part Of: International journal of sustainable economy. Volume 12:Number 4(2020)
• Page Start: 364
• Page End: 382
• Publication Date: 2020-12-23
• Subjects: efficiency -- bond market -- sovereign credit rating -- SCR -- stock market -- Africa; Sustainable development -- Periodicals; Economics -- Periodicals; 338.92705
• Languages: English
• ISSNs: 1756-5804

Abstract

This study investigates the weak-form efficiency of long-term foreign currency denominated bonds and stocks in incorporating long-term foreign currency sovereign credit rating announcements in 19 African countries over the period of 1994 to 2014. The results of Ljung-Box Q autocorrelation, runs and variance ratio tests find that sovereign credit ratings do not significantly impact bond market efficiency. In contrast, stock markets show evidence of weak form efficiency implying that long-term sovereign credit ratings positively affect equities market efficiency in Africa.