Credit ratings and their critical roles in debt finance have generated considerable interest in terms of understanding and explaining how financial markets assimilate information concerning borrowers' creditworthiness. Among the issues receiving attention in the market efficiency literature is risk assessment of non-sovereign borrowers, i.e., firms, companies, banks, local governments, etc. The literature has illustrated that several outstanding issues still exist including the nature of information impacts on global market participants' decisions. Sovereign risk assessment has again captured the attention of international capital market participants as the most recent international debt crisis has been resolved and several developing countries are once again sourcing funds in the international capital markets. Similar to other credit ratings, sovereign ratings evaluate the relative likelihood that a debtor central government will default on its obligations. The economic information used by, for example, Standard and Poor's to aid in tracking sovereign risk includes economic, general government, finance, balance of payments, and external debt data. This information is normally available to the public. Thus, the question that has been central to the discussions associated with corporate ratings can also be asked here. Does a sovereign rating simply mirror the existing international market's assessment of country's risk? Research on this question to date has not fully answered this fundamental question, particularly in relation to global market participant reactions. The present paper complements earlier research on rating agencies by investigating the reactions of global stock and bond markets to sovereign credit rating changes. We examine whether changes in ratings of one type of security affect other asset markets. News about one type of security can affect yields of other securities, through various channels.