Abstract: As the world financial markets are fluctuating, the impact of sovereign credit rating is becoming more and more important. Lots of researches point out that the adjustment of sovereign credit rating would influence both bond markets and stock markets. However, due to the different sensitive degrees of markets towards information, stock markets have more violent reactions than bond markets; and stock markets react in advance to the adjustment of sovereign credit rating. Because of the resultant action of the market expectation and the economic cycle, there exist in the markets the asymmetric reactions to the changes of positive and negative ratings. Therefore, to sort out and comment on the existing literatures can both improve the understanding of the public towards the issue and provide certain reference for the formulation of risk prevention policies.

Key words: sovereign credit rating; bond market; stock market; financial stability