Media sentiment and CDS spread spillovers: evidence from the GIIPS countries.
Abstract
This study explores the role of newswire messages during the European debt crisis. It quantifies how this news metric, revealed by statements recorded by newspapers articles, affects CDS spillovers across five European countries with sovereign debt problems and strict bail-out programs, i.e. Greece, Ireland, Italy, Portugal, and Spain with daily data spanning the period 2009–2012. Using panel ARDL and asymmetric conditional volatility modeling methods, the empirical findings document that the news variable generates significant spillover effects across the underlined CDS markets. These findings cast a cloudy doubt on the effectiveness of economic modeling on which CDS spreads are based.Citation
Apergis, N., Lau, M.C.K. and Yarovaya, L. (2016). ‘Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries’. International Review of Financial Analysis, 47, pp. 50-59. DOI: 10.1016/j.irfa.2016.06.010.Publisher
Elsevier.Journal
International Review of Financial Analysis.Additional Links
https://www.sciencedirect.com/science/article/pii/S1057521916301065Type
ArticleLanguage
enISSN
1057-5219Collections
The following license files are associated with this item:
- Creative Commons
Except where otherwise noted, this item's license is described as http://creativecommons.org/licenses/by-nc-nd/4.0/