Relationship of credit ratings with country stock indices and currencies: Analysis on selected developing countries

Credit rating institutions have been operating since the 1900s; They provide investors with information by performing risk measurements in many areas such as countries, financial institutions, and public institutions. With the acceleration of globalization and the increase in trading activities between countries, rating agencies' importance and their announced ratings in the markets have increased. Thanks to the ratings announced by rating agencies, investors have access to accurate and reliable information, have an idea about the countries' financial, economic, political, and social structures, and have the opportunity to anticipate potential risks. In this study, international credit rating agencies S&P, Moody's, and Fitch from developing countries between 2010-2020; Turkey, South Africa and the country credit ratings of which they have announced for Brazil, the share stock market index, the three countries those transaction volumes, and the correlation with the currency of the country were analyzed by event analysis method and paired sample t-test. Keywords: Credit Rating Agency, Credit Rating, Equity Market, Currency, Event Analysis, Matched Sample T-test