This paper examines whether the release of news about policy interventions by the troika (EU/ECB/IMF) in the crisis-affected EU countries (Cyprus, Greece, Ireland, Italy, Portugal, and Spain) and about the policy responses of these countries’ governments had impacts on the return and risk of stocks in the financial and real-economy sectors of these countries. The results indicate that the involvement of the troika managed to reverse some of the unfavourable market effects of the crisis. Moreover, the policy response of national governments was found to have stronger effects in the markets of the affected countries implying that investors likely waited for the response of the national governments before they reacted to the policy actions of the troika. The simultaneous release of news from the troika and from national governments had adverse effects on the returns and risk of the firms in the real economy sectors, suggesting that, cross-news announcements conveyed negative information in the markets. The implications of these results are discussed in the paper.