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

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Details zur Publikation

Autor(en): Barth F, Eckert C, Gatzert N, Scholz H
Jahr der Veröffentlichung: 2017
Sprache: Englisch


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. By means of an event study, we 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. We find significant negative spillover effects for both competitors and suppliers, with stronger spillover effects for European firms. These results hold for stocks, bonds, and credit default swaps. Our findings emphasize that only considering stock price reactions might imply a severe underestimation of spillover effects.



FAU-Autoren / FAU-Herausgeber

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


Zitierweisen

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

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

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Zuletzt aktualisiert 2018-10-08 um 23:08