The Analysis Of The Stock Market Volatility And Equalization Based On The Europes Sovereign Credit Rating Changes

With the rapid development of economic globalization, capital flows of global financial markets accelerating. Governments are trying to implement the financial opening policy, has created favorable conditions for the sovereign state cross-border capital flows. Under the condition of financial openness, there has been an increase in the economic dependence between countries. In 2009, because of the Greece’s public debt and fiscal deficits Accounted for the proportion of GDP in violation of the Maastricht treaty. Then the national government finances continued to deteriorate. The world’s three major rating agencies: Standard &Poor’s and Fitch and Moody’s have been downgraded Greece’s sovereign coupons, credit rating and prospects of the Greek debt crisis. Due to the free flow of international capital is a double-edged sword, to promote the development of a country’s economy after the financial storm will also bring negative impact on individual countries at the same time. Ireland, Italy, Portugal and Spain’s sovereign credit rating downgrade, Europe’s debt crisis.The changes of sovereign credit rating influence the Stock Market all over the world, which have a Far-reaching impact on the volatility of Stock Market.this paper use the multivariate GARCH models to filter and extract the fluctuations Information of Stock Market which affected by the Changes in sovereign credit rating. It use the error correction model considering the fluctuations Information of Stock Market to analysis the long-term and Short-term impact of macroeconomic factors on the stock market,and to depict the Short-term deviation and Long-term equilibrium lead by downgrades. By examining the downgrade the impact on the stock market effect, can not only show the rating information content, also confirmed the sovereign credit rating changes broad and asymmetric impact on the market, and to realize the importance of risk prevention.Through the empirical analysis results show that the stock market itself has the error correction mechanism. The short-term fluctuations of real GDP, foreign debt and downgrades factors, etc.to the stocks market impact the short-term fluctuationsis significant. The growth rate of real GDP, real effective exchange rate and so on for the long-term equilibrium and stability of the stock market development has significant impact. Long-term policy to maintain and improve the level of credit rating and Short-term impact restrain short-term abnormal regulation policy are put forward based on these conclusions.