C. Justin Robinson, Prosper F. Bangwayo Skeete
The paper investigates the investor’s sensitivity to the announcements of nine sovereign debt restructurings and 50 credit rating reviews on six stock markets across the Caribbean. Using event study methodology, while controlling for thin-trading, the study found no stock price reaction to the credit rating announcements that occurred over 2000-2015. Prices on the Jamaica Stock Exchange, however, reacted to the announcement of two sovereign debt restructurings. In one case, the stock price reaction was delayed and protracted, which is inconsistent with semi-strong form market efficiency. This requires policymakers and practitioners to exercise caution in utilizing stock markets information for policymaking
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