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

Nicholas Apergis, Chi Keung Lau*, Larisa Yarovaya

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    19 Citations (Scopus)
    13 Downloads (Pure)

    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.
    Original languageEnglish
    Pages (from-to)50-59
    Number of pages9
    JournalInternational Review of Financial Analysis
    Volume47
    Early online date30 Jun 2016
    DOIs
    Publication statusPublished - Oct 2016

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