ABSTRACT

I analyse the Granger causality in distribution between sovereign bonds and industry indexes in the five European countries most affected by the debt crisis: Greece, Ireland, Italy, Portugal, and Spain. Prior research assessed the impact of the debt crisis on the financial firms, but its effect on other industries was broadly neglected. My results reveal that, at the height of the crisis, delayed shocks transmission from the sovereign bond to the stock market occurred mainly in Greece. At the industry level, there is no evidence of lagged response of the financial industry to negative sovereign debt shocks, but sovereign debt leads other industries in, at least, one country. These findings are consistent with the investor inattention hypothesis, which states that investors tend to specialise in specific markets, due to their limited availability of time and resources and the cost of information gathering, and information flows slowly across markets.

摘要

我分析了受债务危机影响最严重的五个欧洲国家（希腊、爱尔兰、意大利、葡萄牙和西班牙）的主权债券和行业指数之间分布的格兰杰因果关系。先前的研究评估了债务危机对金融公司的影响，但其对其他行业的影响被广泛忽视。我的研究结果表明，在危机最严重的时候，从主权债券到股票市场的延迟冲击主要发生在希腊。在行业层面，没有证据表明金融业对主权债务负面冲击的反应滞后，但主权债务领先于至少一个国家的其他行业。这些发现与投资者注意力不集中假设一致，即投资者倾向于专注于特定市场，