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

Karan Bhanot (), Natasha Burns, Delroy Hunter and Michael Williams
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Karan Bhanot: UTSA

Working Papers from College of Business, University of Texas at San Antonio

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.

Keywords: spillovers; Eurozone financial sector (search for similar items in EconPapers)
JEL-codes: G1 G14 G15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2013
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Citations: View citations in EconPapers (1)

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