The ongoing debt crisis has led the discussion on the role of credit rating agencies (e.g. Fitch, Moody’s and S&P) during the financial crisis and their connection with the financial markets. This paper examines the impact of rating news on the returns of the Greek General Price index of the Athens Stock Exchange (ASE). We focus on the three major rating agencies of credit capacity, i.e. Fitch, Moody’s and S&P. Our study includes announcements (rating downgrades) about the Greek economy over the period 2009-2011. First, we measure the variation of volatility using closing, open, high and low prices; volatility is linked to the arrivals of financial and accounting information and news. We find evidence of high volatility for the periods December 2009 and April-June 2010. Further, we report that the negative news or downgrades have an economically and statistically significant (negative) impact on the Greek stock market returns only on the day of announcement. The Greek stock market perceives the degradation (downgrades) as surprises. These findings are recommended to financial managers and investors dealing with the Greek stock market.