Greek Government-Debt Crisis Events and European Financial Markets: Surprises of Greek Bond Yields and Inter-Relations of European Financial Markets

21 Pages Posted: 13 Aug 2019

See all articles by Konstantinos Gkillas

Konstantinos Gkillas

University of Patras - Business Administration

Paraskevi Katsiampa

Sheffield University Management School

Dimitrios I. Vortelinos

University of Lincoln; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Mark E. Wohar

University of Nebraska at Omaha

Date Written: August 10, 2018

Abstract

In this paper, we study the impact of Greek government-debt crisis events on European financial markets during the European sovereign debt crisis. We examine the effect of three categories of Greek government-debt crisis events in realized correlation and correlation jumps of government bonds, CDS and stock indices of seven European countries (Greece, Spain, Portugal, Ireland, Italy, Germany and France) via the respective dummy variables and news surprises of 2-year, 5-year and 10-year government bonds and CDS in a non-parametric framework by employing Tobit regression models. According to our results, the direction of most impacts on correlation and correlation jumps is negative. We also investigate the types of Greek government-debt crisis events that have the highest impacts on correlation and correlation jumps. Our findings provide valuable insight into the relationship between events related to Greek instability and European financial markets during the European sovereign debt crisis.

Keywords: contagion, Greek debt crisis, realized correlation, correlation jumps

Suggested Citation

Gkillas, Konstantinos and Katsiampa, Paraskevi and Vortelinos, Dimitrios I. and Wohar, Mark E., Greek Government-Debt Crisis Events and European Financial Markets: Surprises of Greek Bond Yields and Inter-Relations of European Financial Markets (August 10, 2018). Available at SSRN: https://ssrn.com/abstract=3435334 or http://dx.doi.org/10.2139/ssrn.3435334

Konstantinos Gkillas (Contact Author)

University of Patras - Business Administration ( email )

Patras
Greece

HOME PAGE: http://www.gillas.gr

Paraskevi Katsiampa

Sheffield University Management School ( email )

17 Mappin Street
Sheffield, Sheffield S1 4DT
United Kingdom

Dimitrios I. Vortelinos

University of Lincoln ( email )

Brayford Pool
Lincoln, Lincolnshire LN6 7TS
United Kingdom
0044(0)1522835634 (Phone)

HOME PAGE: http://www.lincoln.ac.uk/lbs/staff/3005.asp

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

Mark E. Wohar

University of Nebraska at Omaha ( email )

Department of Economics
6708 Pine Street MH 332S
Omaha, NE 68182
United States
402-554-3712 (Phone)
402-554-2853 (Fax)

HOME PAGE: http://cba.unomaha.edu/faculty/mwohar/WEB/homepage.html

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