Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries

Apergis, Nicholas, Lau, Chi Keung and Yarovaya, Larisa (2016) Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries. International Review of Financial Analysis, 47. pp. 50-59. ISSN 1057-5219

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Official URL: http://dx.doi.org/10.1016/j.irfa.2016.06.010

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.

Item Type: Article
Uncontrolled Keywords: News-wire messages; CDS spreads; European sovereign debt stressful countries; Spillover index
Subjects: N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Business and Management
Depositing User: Becky Skoyles
Date Deposited: 18 Jul 2016 07:53
Last Modified: 31 May 2017 19:39
URI: http://nrl.northumbria.ac.uk/id/eprint/27292

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