Impact of sovereign credit rating on Islamic and conventional Equities

Abstract

This thesis assesses the impact of sovereign rating and outlook changes on Islamic and conventional equities. Main role of CRAs (Credit Rating Agencies) is supply of information sorting of information and monitoring functions. This thesis contributes to literature in by studying (I) The impact of sovereign rating and outlook changes on Islamic and conventional equities (ii)Marginal effect of rating changes on Islamic and conventional equities (iii)using regional factors instead of country specific factors(iv)impact behavior of sovereign rating on Islamic and conventional equities. The finding of the thesis is that sovereign rating impact significantly on stock return. Moreover, rating and outlook changes impact is more on Conventional stock than Islamic stocks. These findings have implication for investors, policy makers, regulators.