The contagion of the Greek debt crisis on the EMU sovereign bond markets: a Garch-DCC approach Online publication date: Mon, 23-Dec-2019
by Oussama Kchaou; Makram Bellalah
International Journal of Entrepreneurship and Small Business (IJESB), Vol. 39, No. 1/2, 2020
Abstract: We use the dynamic conditional correlation (DCC) model of Engle (2002) to examine the contagion effects from the Greek debt crisis on seven Economic and Monetary Union (EMU) sovereign bond markets. Following this purpose, daily data on ten-year sovereign bond yields for each market were collected for a period ranging from 1 September 2009 to 31 December 2015. We show a strong evidence of contagion effects from the Greek sovereign bond market to those of the other peripheral countries during the spring of 2010 suggesting a «wake-up call contagion» phenomenon. Except for this period, the DCC return series strongly reject the hypothesis of contagion stemming from the ten-year Greek government bond to our seven sovereign debt markets. We thus argue that over time, investors became more confident that the Greek debt crisis was a special case independent from the other countries. Our results are very important for policymakers and investors.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Entrepreneurship and Small Business (IJESB):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook