Spillover effects from the Volkswagen emissions scandal: An analysis of stock, corporate bond, and credit default swap markets

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Publication Details

Author(s): Barth F, Eckert C, Gatzert N, Scholz H
Publication year: 2017
Language: English


Abstract

This study empirically examines spillover effects from the Volkswagen
emissions scandal worldwide. We focus on competitors of Volkswagen and
on suppliers to the automotive industry and analyze stocks, bonds, and
credit default swaps. This approach allows us to capture spillover
effects beyond the usually measured losses in equity market value only.
Our findings indicate negative spillover effects for both competitors
and suppliers. We further distinguish between European and non-European
firms and find more negative spillover effects for European firms in
stock, bond, and credit default swap markets. Conversely, non-European
firms appear to benefit after Volkswagen’s admission to emissions
cheating in stock markets, which seems to mainly relate to U.S. firms.
Our findings emphasize that only considering stock price reactions might
entail a severe underestimation of market value losses of firms due to
spillover effects.


FAU Authors / FAU Editors

Barth, Florian
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Eckert, Christian Dr.
Lehrstuhl für Versicherungswirtschaft und Risikomanagement
Gatzert, Nadine Prof. Dr.
Lehrstuhl für Versicherungswirtschaft und Risikomanagement
Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


How to cite

APA:
Barth, F., Eckert, C., Gatzert, N., & Scholz, H. (2017). Spillover effects from the Volkswagen emissions scandal: An analysis of stock, corporate bond, and credit default swap markets.

MLA:
Barth, Florian, et al. Spillover effects from the Volkswagen emissions scandal: An analysis of stock, corporate bond, and credit default swap markets. 2017.

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Last updated on 2019-01-03 at 16:53