Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?

► We study impacts of sovereign ratings and outlooks on regional stock and bond market integration. ► We examine permanent and transitory effects of ratings and outlooks on emerging markets. ► Sovereign ratings and outlooks positively impact regional stock market co-movements. ► Sovereign rating and outlooks negatively impact regional bond market co-movements. ► The negative impact is mostly from higher rated countries compared to regional average.