The aim of this study is to reveal the effects of sovereign credit ratings given by the rating agencies on the stock exchanges of the countries. For this purpose, the effects of the ratings given by S&P, Moody’s and Fitch rating institutions for T-BRICS countries stock markets have been investigated by event study method between 2004-2019. The presence of abnormal returns have been examined within ± 15, ± 10, ± 5 and ± 1 day event windows in order to clearly demonstrate the effects of the event. As a result of the analysis, it has been found that negative (positive) event in the same direction of negative (positive) abnormal return in the stock exchanges of some countries. In addition, it has been concluded that some countries may react differently to the same events due to their geographical location. Finally it has been concluded that sovereign credit rating announcements caused statistically significant cumulative abnormal returns, average abnormal returns and cumulative average abnormal returns, consequently the current markets in the relevant countries were not semi-strong form efficiency.