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The Impact of Greek Economic News on European Financial Markets. Evidence from the European Sovereign Debt Crisis

  • Dimitrios I. Vortelinos
  • Konstantinos Gkillas (Gillas)
  • Christos Floros
Chapter

Abstract

This chapter examines the impact of Greek economic news on European government bond, CDS, and stock markets. The impact of three categories of news is examined via the respective number of dummy variables, number of news per month, and news surprises of 2-year, 5-year, and 10-year government bonds and CDS on return, volatility, volatility jump, correlation, and correlation jump of government bonds, CDS, and stock indices of seven European countries, within a tobit regression framework. This chapter also discusses the implications of Greek economic news to policy actions. Recommendations driven by results are made to policy makers as well.

Keywords

greek economic news contagion realized volatility range policy implications 

JEL Clasifications

E44 G14 G01 C22 G28 

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Copyright information

© The Author(s) 2017

Authors and Affiliations

  • Dimitrios I. Vortelinos
    • 1
  • Konstantinos Gkillas (Gillas)
    • 2
  • Christos Floros
    • 3
    • 4
  1. 1.Lincoln International Business SchoolUniversity of LincolnLincolnUK
  2. 2.Department of Business AdministrationUniversity of PatrasPatrasGreece
  3. 3.Department of Accounting and FinanceTechnological Educational Institute of CreteHeraklion, CreteGreece
  4. 4.Hellenic Open UniversityThermiGreece

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