Credit rating announcement and bond liquidity: the case of emerging bond markets


  • Amir Amir Faculty of Economics and Management, University of Sfax, Sfax, Tunisia
  • Anis Elammari Faculty of Economic Sciences and Management, University of Monastir, Mahdia, Tunisia
  • Mohamed Kriaa Faculty of Economics and Management, University of Sfax, Sfax, Tunisia


Liquidity, Sovereign bond market, Credit ratings



This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. This study analyses the liquidity of bonds in various emerging bond markets using a sample of nine countries: Argentina, Mexico, Peru, Hungary, Poland, Spain, Turkey, Hong Kong and Greece. The sample includes daily data on sovereign bonds that go from July 2009 to July 2017. The main focus is on the period before and after the sovereign debt crisis. This study notes that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.


This study aims to question the sources of liquidity problem of sovereign bonds issued by the emerging countries. The study’s database consists of daily data of all nine emerging countries for the period from July 2009 to July 2017. Panel data were collected from the Datastream database.


This study first directly tests the information content of bond ratings announcements and their effect on bond market liquidity. Next, the impact of rating changes on sovereign bond liquidity around the rating announcements is studied. Rating changes can affect sovereign bond's price, trading and liquidity around the announcement date. In particular the rating changes that move the bonds out of the investment grade category can elicit selling pressure or even fire sale of the fallen angels.


This research aims to present data on the prices of sovereign bonds that react to changes in credit rating by studying the price movements around the announcement of changes in credit rating. The literature is very rich in studies on credit rating changes on stocks and corporate bonds, but this study is perhaps the first attempt on sovereign bonds.



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How to Cite

Amir, A., Elammari, A., & Kriaa, M. (2022). Credit rating announcement and bond liquidity: the case of emerging bond markets. Journal of Economics, Finance and Administrative Science, 27(53), 86–104. Retrieved from