Media Sentiment and CDS Spread Spillovers

Evidence from the GIIPS Countries

Nicholas Apergis, Marco Chi Keung Lau, Larisa Yarovaya

Research output: Contribution to journalArticle

4 Citations (Scopus)

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 pages10
JournalInternational Review of Financial Analysis
Volume47
Early online date30 Jun 2016
DOIs
Publication statusPublished - Oct 2016
Externally publishedYes

Fingerprint

Credit default swap (CDS) spreads
Sentiment
News
Spillover
Italy
Portugal
European countries
Autoregressive distributed lag model
Economic modelling
Conditional volatility
Greece
Debt crisis
Modeling method
Bailout
Spain
Sovereign debt
Spillover effects
Ireland
Volatility modelling

Cite this

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Media Sentiment and CDS Spread Spillovers : Evidence from the GIIPS Countries. / Apergis, Nicholas; Lau, Marco Chi Keung; Yarovaya, Larisa.

In: International Review of Financial Analysis, Vol. 47, 10.2016, p. 50-59.

Research output: Contribution to journalArticle

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