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Applied Economics Letters Volume 20, 2013 - Issue 3
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Original Articles

Volatility and mean spillovers between sovereign and banking sector CDS markets: a note on the European sovereign debt crisis

Go Tamakoshi Graduate School of Economics, Kobe University, Nada-Ku, Kobe, 657-8501, JapanCorrespondence[email protected]
&
Shigeyuki Hamori Faculty of Economics, Kobe University, Nada-Ku, Kobe, 657-8501, Japan
Pages 262-266 | Published online: 30 May 2012

Citations (15)

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Maria E. de Boyrie & Ivelina Pavlova. (2016) Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries. Applied Economics 48:7, pages 563-575.
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Articles from other publishers (14)

Jatin Trivedi, Mohd Merajuddin Inamdar, Rachana Baid & Narsimhulu Siddula. 2023. Political Economy of Development in the Global South Post-COVID-19 Pandemic. Political Economy of Development in the Global South Post-COVID-19 Pandemic 185 203 .
Daragh Clancy, Carmine Gabriele & Diana Žigraiová. (2022) Sovereign bond market spillovers from crisis-time developments in Greece. Journal of International Financial Markets, Institutions and Money 78, pages 101558.
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Osman TUZUN, Işıl EREM CEYLAN & Fatih CEYLAN. (2021) GÜVEN ENDEKSLERİ İLE HİSSE SENEDİ PİYASASI ARASINDAKİ NEDENSELLİK ANALİZİ: TÜRKİYE ÖRNEĞİ. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 30:2, pages 166-181.
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Christos Alexakis & Vasileios Pappas. (2018) Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. Economic Modelling 73, pages 222-239.
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Zhongbao Zhou, Ling Lin & Shuxian Li. (2018) International stock market contagion: A CEEMDAN wavelet analysis. Economic Modelling 72, pages 333-352.
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Xueyong Liu, Haizhong An, Huajiao Li, Zhihua Chen, Sida Feng & Shaobo Wen. (2017) Features of spillover networks in international financial markets: Evidence from the G20 countries. Physica A: Statistical Mechanics and its Applications 479, pages 265-278.
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Nicholas Apergis, Jozef Baruník & Marco Chi Keung Lau. (2017) Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. Energy Economics 66, pages 108-115.
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Mikhail Stolbov. (2016) Causality between sovereign, quasi-sovereign credit risks and global volatility: The case of Russia. Journal of Eurasian Studies 7:1, pages 71-84.
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Go Tamakoshi & Shigeyuki Hamori. (2012) Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns. Journal of Economics and Finance 38:4, pages 627-642.
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Wasim Ahmad, N.R. Bhanumurthy & Sanjay Sehgal. (2014) The Eurozone crisis and its contagion effects on the European stock markets. Studies in Economics and Finance 31:3, pages 325-352.
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Go Tamakoshi & Shigeyuki Hamori. (2014) On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads. Research in International Business and Finance 30, pages 83-90.
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Go Tamakoshi & Shigeyuki Hamori. (2014) Spillovers among CDS indexes in the US financial sector. The North American Journal of Economics and Finance 27, pages 104-113.
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Nikolaos Antonakakis & Konstantinos Vergos. (2013) Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis. Journal of International Financial Markets, Institutions and Money 26, pages 258-272.
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Wasim Ahmad, Sanjay Sehgal & N.R. Bhanumurthy. (2013) Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?. Economic Modelling 33, pages 209-225.
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