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作为衡量主权国家信用风险的主权信用评级,为市场参与者提供了被评级国家正面或者负面的一个信号。通过了解主权信用评级调整情况,股票市场参与者能够知悉被评级国家的经济在未来的发展状况,进行风险预判调整投资行为。中亚地区的金融市场开放时间相对较晚,2006年阿拉木图区域金融中心的建立,标志着哈萨克斯坦股票市场正式融入国际资本市场,同时意味着影响市场变动的因素增多。本文基于哈萨克斯坦2006年到2012年的数据,研究中亚地区股票市场面对主权信用评级调整发生的变化,观察股票市场在主权评级调整时的变化情况,分析探讨可能的原因。文章中借助事件研究方法,量化分析主权评级调整在短期内对市场的影响情况。从实证研究结果来看,主权评级的下调,加剧了哈萨克斯坦的股票市场波动程度,增大金融风险。
As a sovereign credit rating that measures the credit risk of sovereign countries, it provides market participants with a signal that the rating country is positive or negative. By understanding the adjustment of sovereign credit rating, stock market participants can learn the development of the economy of the listed countries in the future and conduct risk pre-adjustment and adjustment of investment. The opening up of the financial markets in Central Asia is relatively late. The establishment of the Almaty Regional Financial Center in 2006 marked the formal integration of the Kazakh stock market into the international capital market, which in turn implied an increase in the factors affecting the market. Based on the data of Kazakhstan from 2006 to 2012, this paper studies the changes in the adjustment of sovereign credit rating in the stock market in Central Asia, observes the changes of the stock market in the adjustment of sovereign rating, and analyzes the probable causes. In the article, by means of event research, we quantitatively analyze the impact of sovereign rating adjustment on the market in the short term. From the empirical results, the downgrade of sovereign rating aggravates the volatility of Kazakhstan’s stock market and increases the financial risk.