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dc.contributor.authorApergis, Nicholas
dc.contributor.authorLau, Chi Keung Marco
dc.contributor.authorYarovaya, Larisa
dc.date.accessioned2019-01-24T15:14:25Z
dc.date.available2019-01-24T15:14:25Z
dc.date.issued2016-06-30
dc.identifier.citationApergis, 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.en_US
dc.identifier.issn1057-5219
dc.identifier.urihttp://hdl.handle.net/10545/623361
dc.description.abstractThis 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.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherElsevier.en_US
dc.relation.urlhttps://www.sciencedirect.com/science/article/pii/S1057521916301065en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectNews-wire messagesen_US
dc.subjectCDS spreadsen_US
dc.subjectEuropean sovereign debt stressful countriesen_US
dc.subjectSpillover indexen_US
dc.titleMedia sentiment and CDS spread spillovers: evidence from the GIIPS countries.en_US
dc.typeArticleen_US
dc.contributor.departmentUniversity of Piraeusen_US
dc.contributor.departmentNorthumbria Universityen_US
dc.contributor.departmentAnglia Ruskin Universityen_US
dc.identifier.journalInternational Review of Financial Analysis.en_US
dcterms.dateAccepted2016-06-28


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