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Essays on Information Transmission and Crisis Spillover in the Financial Markets


Summary, in English

This doctoral dissertation comprises three independent essays on information transmission and crisis spillover in the financial markets. The research questions are examined in the context of the foreign exchange market, the stock market and the global banking system.

The first paper, The Response of Exchange Rates to Central Bank Communication: A Textual Analysis Approach, investigates how European Central Bank (ECB) communication affects the returns and volatility of exchange rates. The results indicate that the sentiment of ECB is positively linked to the euro values and is negatively related to exchange rate volatility. The EUR-USD rates react most strongly to the sentiment of economic growth and liquidity provision. The paper provides evidence that central bank sentiment contains forward-looking views about future policy rates and exchange rates.

The second paper, News-implied Volatility and the Cross-Section of Expected Stock Returns, analyzes the role of each subcategory of news-implied volatility (NVIX) in the cross-section of stock returns. NVIX is driven by different components, including financial intermediation, government, war, natural disaster, and stock market news. The paper demonstrates that it is only the volatility related to stock markets that is priced. Stocks with negative (positive) betas perform poorly (well) during times of a high volatility index. Portfolio-level analyses and stock-level cross-sectional regressions present evidence of a negative and statistically significant relation between volatility betas and expected returns, even after controlling for firm characteristics.

The third paper, Contagion in the Global Banking System during the US and Eurozone Crises, examines the transmission of the US and European debt crisis to 45 banking systems. The results confirm the strong evidence of contagion from the US market. The Eurozone crisis tends to disturb the banking sectors in America and Asia-Pacific countries, but the impacts are not sizable. Banks with high profitability, a stability score, low diversification, and low concentration are more resilient in both episodes. In contrast, banks in countries with a positive investment positions, high government debts, and high unemployment rates augment the intensity of contagion.

Publishing year





Lund Economic Studies


no. 218

Document type



Lund University (Media-Tryck)


  • Economics


  • Central bank communication
  • ECB
  • exchange rates
  • sentiment
  • LDA
  • textual analysis
  • cross-section of stock returns
  • news-implied volatility
  • financial contagion
  • interdependence
  • global banking system




  • ISSN: 0460-0029
  • ISBN: 978-91-7895-416-2
  • ISBN: 978-91-7895-417-9

Defence date

27 February 2020

Defence time


Defence place