TY - JOUR
T1 - Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries
AU - Apergis, Nicholas
AU - Lau, Chi Keung
AU - Yarovaya, Larisa
PY - 2016/10
Y1 - 2016/10
N2 - 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.
AB - 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.
KW - News-wire messages
KW - CDS spreads
KW - European sovereign debt stressful countries
KW - Spillover index
U2 - 10.1016/j.irfa.2016.06.010
DO - 10.1016/j.irfa.2016.06.010
M3 - Article
VL - 47
SP - 50
EP - 59
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
SN - 1057-5219
ER -