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DETERMINANT ANALYSIS COMPARISON OF SOVEREIGN CREDIT RATING AND IMPACT TO STOCK MARKET (EVIDENCE FOR THE EMERGING MARKET COUNTRIES)
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The purpose of this research is to (1) analyze the influence of the selected macroeconomic factors to sovereign rating in emerging market country which published by Moodys and Fitch, (2) compare the valuation, issued by these rating agency, to determine which one is better in doing the assessment, (3) is sovereign rating affect the return in stock index. This research is using panel regression andt-test for equality of mean and reinforced by MAE and MAPE method. The result of this research are: (1) GDP/Capita, Debt/Capita, Inflation, CPI and Reserves are significantly affect sovereign rating created by Moodys and Fitch (2) Fitch is better in terms of the rating assessment compared to Moodys (3) sovereign rating have a positive impact on the index’s return in the emerging market country.