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News Spillovers from the Greek Debt Crisis: Impact on the Eurozone Financial Sector

Author

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  • Karan Bhanot

    (UTSA)

  • Natasha Burns
  • Delroy Hunter
  • Michael Williams

Abstract

on financial sector stocks of Portugal, Italy, Greece, and Spain during the Greek debt crisis. We find evidence of spillovers—i.e., news announcements (rating downgrades and other news) about Greece lead to negative and significant abnormal returns on financial stocks of Portugal, Italy, and Spain. We do not find evidence of spillovers for financial firms from other European countries: Austria, Belgium, France, and the Netherlands. The spillover effect is magnified for those countries with higher yield spreads. Collectively, our results point to the role of information (news announcements) as a transmission channel in the crisis period.

Suggested Citation

  • Karan Bhanot & Natasha Burns & Delroy Hunter & Michael Williams, 2013. "News Spillovers from the Greek Debt Crisis: Impact on the Eurozone Financial Sector," Working Papers 0176fin, College of Business, University of Texas at San Antonio.
    • Handle: RePEc:tsa:wpaper:0176fin
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    File URL: http://interim.business.utsa.edu/wps/FIN/0010FIN-073-2013.pdf
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    Cited by:

    1. Athanasios Koulakiotis & Apostolos Kiohos & Nicholas Papasyriopoulos, 2016. "Transmission of News in Eurozone Bank Holdings and European Bank Markets in the Light of the Greek Debt Crisis," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(1), pages 1-48, April.

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    More about this item

    Keywords

    spillovers; Eurozone financial sector;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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