The reaction of sovereign CDS spread volatilities to news announcements

被引：4

作者：

Bouzgarrou H. ^{[1
]}

Chebbi T. ^{[2
]}

机构：

[1] High Institute of Management of Sousse, University of Sousse

[2] Faculty of Economic Sciences and Management of Sousse, University of Sousse, Cité Riadh, Sousse

来源：

Journal of Asset Management | 2016年 / 17卷 / 5期

关键词：

CDS spreads; Euro-area countries; News announcements;

D O I：

10.1057/jam.2016.20

中图分类号：

学科分类号：

摘要：

This article explores the market reaction to news announcements extracted from the Eurointelligence newsflash. The data used in this work are yield spreads associated with 5-year sovereign credit default swap (hereafter, CDS) of a sample of euro area countries from May 15, 2012 until May 23, 2014. To this aim we used the exponential generalized autoregressive conditional heteroskedastic model which is an extended form of the GARCH model. Overall, our results provide considerable evidence that news is an important driver for CDS spread volatility. Specifically, we find that more news regarding the country-specific crisis raises the volatility. Moreover, the estimation results suggest that higher news in one selected country imply an increase in the CDS volatility of other countries, highlighting the presence of positive news spillover effect across euro-area countries. © 2016 Macmillan Publishers Ltd.

引用

页码：347 / 360

页数：13

共 55 条

[1]

Afonso A., Furceri D., Gomes P., Sovereign credit ratings and financial markets linkages: Application to European data, Journal of International Money and Finance, 31, 3, pp. 606-638, (2012)

[2]

Afonso A., Gomes P., Taamouti A., Sovereign credit ratings, market volatility, and financial gains, Computational Statistics and Data Analysis, 76, 1, pp. 20-33, (2014)

[3]

Alexander C., Kaeck A., Regime dependent determinants of credit default swap spreads, Journal of Banking and Finance, 32, 6, pp. 1008-1021, (2008)

[4]

Ammer J., Cai F., Sovereign CDS and bond dynamics in emerging markets: Does the cheapest-todeliver option matter?, Journal of International Financial Markets, Institutions and Money, 21, 3, pp. 369-387, (2011)

[5]

Andersen T., Return flow and trading volume: An information flow interpretation of stochastic volatility, Journal of Finance, 51, 1, pp. 169-204, (1996)

[6]

Andersen T., Bollerslev T., Diebold F., Vega C., Realtime price discovery in global stock, bond and foreign exchange markets, Journal of International Economics, 73, 2, pp. 251-277, (2007)

[7]

Ang A., Longstaff F.A., Systemic sovereign credit risk: Lessons from the U.S. And Europe, Journal of Monetary Economics, 60, 5, pp. 493-510, (2013)

[8]

Arru D., Iacovoni D., Monteforte L., Pericoli F.M., EMU sovereign spreads and macroeconomic news, Public Debt, Global Governance and Economic Dynamism, pp. 343-363, (2013)

[9]

Baek I.-M., Bandopadhyaya A., Du C., Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite?, Journal of International Money and Finance, 24, 4, pp. 533-548, (2005)

[10]

Statistical release OTC derivatives statistics at end-December 2014, Basel, Switzerland, Monetary and Economic Department, (2015)

← 1 2 3 4 5 6 →