This paper examines the effects of sovereign credit downgrades on the JSE. Credit rating announcements are said to provide new private information about a country, which is tradeable, affecting investment decisions and feeding through to stock returns. Past studies focus on how downgrades affect the overall market, we take this a step further and evaluate how the effect of a particular downgrade differs across industries, using a short-horizon event study methodology. Our results suggest no statistically significant impact on the JSE as a whole. However, a closer analysis suggests the impact is not uniform across industries. Sovereign credit downgrades have a more adverse impact on cyclical industries such as the banking, technology and retail sectors, while other more defensive industries such as the consumer goods, consumer services and mining sectors reacted positively. The counteracting reactions may effectively cancel each other out on balance, making it seem as if there is no effect on the JSE when in fact there is.