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

HOUSSAM  BOUZGARROU; TAREK  CHEBBI; WAEL  LOUHICHI

doi:10.54695/bmi.158.321

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

Auteurs

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

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

Mots-clés:

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

Résumé

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.

Accès sous abonnement ou avec frais PDF (English) (EUR 30)

Publiée

2019-09-01

Comment citer

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