Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock, Corporate Bond, and Credit Default Swap Markets

57 Pages Posted: 19 Dec 2017 Last revised: 21 Mar 2019

See all articles by Florian Barth

Florian Barth

Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg

Christian Eckert

Friedrich-Alexander University Erlangen-Nürnberg

Nadine Gatzert

Friedrich-Alexander University Erlangen-Nürnberg

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Date Written: March 17, 2019

Abstract

The Volkswagen emissions scandal is by far the largest case of emissions cheating in automotive history and had wide-reaching consequences for the industry throughout the world. This study examines the spillover effects to competitors and suppliers following Volkswagen’s public admission of manipulating their diesel engines to cheat regulatory emission tests. We analyze stocks, bonds, and credit default swaps beyond the usually measured losses in equity market value only. Our findings indicate negative spillover effects for competitors and suppliers worldwide. Distinguishing between European and non-European firms, we find negative spillover for European firms whereas non-European firms partly show positive (but mostly insignificant) effects. Our findings emphasize that both the equity and debt of a firm should be considered when estimating firm value losses due to spillover effects.

Keywords: Spillover Effects, Volkswagen Emissions Scandal, Event Study

JEL Classification: G12, G14

Suggested Citation

Barth, Florian and Eckert, Christian and Gatzert, Nadine and Scholz, Hendrik, Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock, Corporate Bond, and Credit Default Swap Markets (March 17, 2019). Available at SSRN: https://ssrn.com/abstract=3089897 or http://dx.doi.org/10.2139/ssrn.3089897

Florian Barth (Contact Author)

Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg ( email )

Lange Gasse 20
Nuremberg, DE 90403
Germany

Christian Eckert

Friedrich-Alexander University Erlangen-Nürnberg ( email )

Lange Gasse 20
Nuremberg, 90403
Germany
+499115302886 (Phone)
+495302888 (Fax)

HOME PAGE: http://www.vwrm.rw.fau.de/

Nadine Gatzert

Friedrich-Alexander University Erlangen-Nürnberg ( email )

Lange Gasse 20
Nuremberg, 90403
Germany
+499115302884 (Phone)
+499115302888 (Fax)

HOME PAGE: http://www.vwrm.rw.fau.de

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

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