Greece on Saturday arrested the leader of the neo-Nazi Golden Dawn party and hunted for dozens of members as part of a crackdown launched after the murder of a leftist musician, a police source said.

Nikos Michaloliakos, 56, was arrested along with Golden Dawn lawmaker and spokesman Ilias Kassidiairis and two other party members on charges of belonging to a "criminal organisation," the source said on condition of anonymity.

Arrest warrants have been issued for at least five other MPs and dozens of members of the party, which has 18 lawmakers in parliament.

The arrests came a day after Golden Dawn threatened to quit parliament, a move that would prompt by-elections in the recession-hit country where the government is struggling to implement painful public sector reforms in return for international bailout funds.

Greece launched a crackdown on the party after the fatal stabbing of 34-year-old anti-fascist hip-hop artist Pavlos Fyssas on September 18 by a self-confessed neo-Nazi.

On Friday, Michaloliakos threatened to pull the party's 18 lawmakers out of parliament, a move that would prompt by-elections in 15 regions around the country.

The by-elections could hurt the coalition government of Prime Minister Antonis Samaras, which has a slim majority of 155 MPs in the 300-seat parliament.

Golden Dawn was voted into parliament for the first time in 2012 elections, amid widespread anger over structural reforms international creditors have imposed on the debt-wracked country, which is currently in its sixth continuous year of recession and that has a staggering 27 percent unemployment rate.