Anticipation of reaction of stock markets to anticipated rating announcements by the market in a crisis context and investor behaviour: The case of MENA countries

The study explores the reaction of stock markets to anticipated or unexpected rating announcements by themarket in a crisis context by conducting an empirical study on the MENA (Middle East and North Africa)stock market over the period from December 2010 to August 2022. The results show that the crisis contextsupport the anticipation of bad ratings and neutral ratings as opposed to good ratings. These resultsvalidate the asymmetry in investor reaction to announcements of anticipated rating downgrades comparedwith announcements of upgrades in times of crisis. This reaction highlights the irrational behave ofinvestors in times of crisis. In fact, when investors detect a risk concerning the financial situation of a stock,they anticipate a downgrade and react quickly, even before the official announcement of the downgrade,by selling their shares on masse. This action will cause the share price to fall. Similarly, the market’s weakreaction to early good announcements is explained by the fact that this type of announcement does notprovide them with any unknown information to guide their financial decisions.