News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector

Bhanot, Karan; Burns, Natasha; Hunter, Delroy M.; Williams, Michael R.

doi:10.1016/j.jbankfin.2013.09.015

Cited by 60 publications

(45 citation statements)

References 21 publications

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“…Several papers investigate the role of news in generating spillover effects. Examples are Beetsma et al (2013) and Bhanot et al (2014). The latter paper demonstrates the adverse spillover effects of negative domestic news on sovereign interest spreads among the crisis countries.…”

mentioning

confidence: 81%

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Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

Beetsma

Giuliodori

Hanson

et al. 2018

J of Money Credit Banking

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We provide evidence for the euro area of spillovers from foreign public debt auctions into domestic secondary‐market auction cycles. We also confirm existing evidence of such spillovers from domestic issues into the domestic secondary market. Consistent with a theory of primary dealers’ limited risk‐bearing capacity, we find that auction cycles from domestic issues are stronger during the recent crisis period, whereas cross‐border effects are stronger in the precrisis period, but this evidence is not strong. This finding likely reflects the opposing effects of reduced sovereign bond market integration during the crisis and higher yield covariances caused by more market volatility.

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mentioning

confidence: 81%

“…() and Bhanot et al. (). The latter paper demonstrates the adverse spillover effects of negative domestic news on sovereign interest spreads among the crisis countries.…”

mentioning

confidence: 98%

Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

Beetsma

Giuliodori

Hanson

et al. 2018

J of Money Credit Banking

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“…Both Longstaff () and Bhanot et al . () find that during crisis periods, the contagion and spillover effects between related markets are more pronounced. Longstaff () examines the contagion effect between asset‐backed collateralized debt obligations (CDOs) and the ABX subprime indices, underlying stocks, and treasury and corporate bond yields.…”

Section: Empirical Findings and Analysismentioning

confidence: 92%

“…Bhanot et al . () study the spillover effect between European capital markets (including Greece, Portugal, Italy, Spain, the Netherlands, France, and Austria) during the Euro Crisis Period, which began in Greece. The authors examine the spillover effect by demonstrating the change in Greek debt yield spread on the stock market returns of Pan‐European countries.…”

Section: Empirical Findings and Analysismentioning

confidence: 99%

“…We follow Bhanot et al . () and use the Euro Sovereign Crisis period between October 1, 2009 and June 30, 2011, to investigate the volatility spillover phenomenon between the underlying and options markets during the crisis period. For the Taiwan market, since the time to maturity of the continous call and put quotations are only available after March 2010 in Datastream, we define March 1, 2010 to June 30, 2011 as the Euro Sovereign Crisis period.…”

Section: Empirical Findings and Analysismentioning

confidence: 99%

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The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan

Chan

Peretti

Wang

et al. 2017

Asia-Pac J of Fin Stud

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This study examines the volatility spillover effect among five index options and their underlying markets. Results show that the bidirectional volatility spillover effect and the cross‐market leverage effect exist between index options and their underlying markets. Our findings confirm that the volatility spillover effect is generally outweighed by shocks in the underlying market, and that the options implied price volatility is provoked by the information shock occurring in both the cash and options markets to a higher degree. Through the volatility impulse response function, this study shows that the options implied prices are more sensitive to innovations in both markets.

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Greek government‐debt crisis events and European financial markets: News surprises on Greek bond yields and inter‐relations of European financial markets

et al. 2022

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We study the impact of Greek government‐debt crisis events on inter‐relations of European financial markets during the European sovereign debt crisis. To this end, we examine the effects of three categories of Greek government‐debt crisis events in the realized correlations and correlation jumps of government bonds, CDS, and stock indices of seven European countries (i.e., France, Germany, Greece, Ireland, Italy, Portugal, and Spain) via the respective dummy variables and news surprises on 2‐year, 5‐year, and 10‐year government bonds and CDS in a non‐parametric framework by employing Tobit regression models. According to the results, the direction of most impacts on correlations and correlation jumps is negative, suggesting that the Greek government‐debt crisis events reduced the homogeneity among member states in the Eurozone. We also investigate the types of Greek government‐debt crisis events that have the highest impacts on correlations and correlation jumps and find that the highest impacts mainly result from news originating from Greek and European sources.

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News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector

Cited by 60 publications

References 21 publications

Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan

Greek government‐debt crisis events and European financial markets: News surprises on Greek bond yields and inter‐relations of European financial markets

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