Media sentiment and CDS spread spillovers: evidence from the GIIPS countries.
Journal article
Authors | Apergis, Nicholas, Lau, Chi Keung Marco and Yarovaya, Larisa |
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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. |
Keywords | News-wire messages; CDS spreads; European sovereign debt stressful countries; Spillover index |
Year | 2016 |
Journal | International Review of Financial Analysis |
Publisher | Elsevier |
ISSN | 1057-5219 |
Web address (URL) | http://hdl.handle.net/10545/623361 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623361 | |
Publication dates | 30 Jun 2016 |
Publication process dates | |
Deposited | 24 Jan 2019, 15:14 |
Accepted | 28 Jun 2016 |
Contributors | University of Piraeus, Northumbria University and Anglia Ruskin University |
File | File Access Level Open |
File | File Access Level Open |
https://repository.derby.ac.uk/item/94x4v/media-sentiment-and-cds-spread-spillovers-evidence-from-the-giips-countries
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