News and Sovereign CDS Spillovers: The Case of the Euro Area Markets

Authors

  • HOUSSAM BOUZGARROU PhD, High Institute of Finance and Taxation, University of Sousse, Tunisia
  • TAREK CHEBBI PhD, Faculty of Economic Sciences and Management, University of Sousse, Tunisia
  • WAEL LOUHICHI PhD, ESSCA School of Management, Paris, France

DOI:

https://doi.org/10.54695/bmi.158.321

Keywords:

News announcements; CDS spreads; Euro area countries; TGARCH model.

Abstract

The aim of this paper is to examine the impact of news releases on the sovereign CDS market, during the post-crisis period and for a sample of distressed European countries. We split news announcements into good and bad news. The estimation of our TGARCH model shows that both types of news are significant drivers for sovereign 5-year CDS spreads. Moreover, our results reveal the presence of spillover effects generated by the information flow across the CDS markets. These results are helpful for investors in terms of hedging strategies and portfolio construction.

Published

2019-09-01

How to Cite

BOUZGARROU, H. ., CHEBBI, T., & LOUHICHI, W. (2019). News and Sovereign CDS Spillovers: The Case of the Euro Area Markets. Bankers, Markets & Investors, 158(01). https://doi.org/10.54695/bmi.158.321

Issue

Vol. 158 (2019): BANKERS, MARKETS AND INVESTORS

Section

Articles