Contagion during the Greek sovereign debt crisis

► We examine contagion during the 2010 Greek sovereign debt crisis. ► We distinguish between news about Greece and news about a Greek bailout. ► News about Greece affects stock prices of Greek banks, but not of other EU banks. ► News about a Greek bailout affects stock prices of Greek and other EU banks. ► Both types of news affect bond prices of other highly indebted euro countries.