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

Media sentiment and CDS spread spillovers: evidence from the GIIPS countries
Media sentiment and CDS spread spillovers: evidence from the GIIPS countries
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.
news-wire messages, CDS spreads, Spillover Index
1057-5219
50-59
Apergis, Nicholas
313fc032-a301-4fa8-93df-399086912c96
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Apergis, Nicholas
313fc032-a301-4fa8-93df-399086912c96
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Apergis, Nicholas, Lau, Chi Keung Marco and Yarovaya, Larisa (2016) Media sentiment and CDS spread spillovers: evidence from the GIIPS countries. International Review of Financial Analysis, 47, 50-59. (doi:10.1016/j.irfa.2016.06.010).

Record type: Article

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.

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Media._2016 - Accepted Manuscript
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More information

Accepted/In Press date: 28 June 2016
e-pub ahead of print date: 30 June 2016
Published date: October 2016
Keywords: news-wire messages, CDS spreads, Spillover Index

Identifiers

Local EPrints ID: 426345
URI: https://eprints.soton.ac.uk/id/eprint/426345
ISSN: 1057-5219
PURE UUID: 01a18e1e-fa4f-4c22-bc6f-89154a8d458f

Catalogue record

Date deposited: 23 Nov 2018 17:30
Last modified: 19 Jul 2019 10:27

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