Tweets, Google Trends and Sovereign Spreads in the GIIPS

Dergiades, T, Milas, Costas ORCID: 0000-0002-9789-384X and Panagiotidis, T (2015) Tweets, Google Trends and Sovereign Spreads in the GIIPS. Oxford Economic Papers, 67 (2). pp. 406-432.

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Abstract

We examine whether the information contained in social media (Twitter, Facebook & Google Blogs) and web search intensity (Google) influences financial markets. Using a multivariate system and focussing on Eurozone’s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal and Spain) as well as two of Eurozone’s core countries (France and the Nethelands), we show that social media discussion and search-related queries for the Greek debt crisis provide significant short-run information primarily for the Greek-German and Irish-German government bond yield differential even when other financial control variables (international risk, Eurozone’s risk, default risk and liquidity risk) are accounted for, and to a much lesser extent for Portuguese, Italian and Spanish sovereign yield differentials. Social media discussion and Google search-related queries for the Greek debt crisis do not affect spreads in France and the Netherlands.

Item Type:	Article
Additional Information:	## TULIP Type: Articles/Papers (Journal) ##
Depositing User:	Symplectic Admin
Date Deposited:	18 Jan 2016 10:28
Last Modified:	17 Dec 2022 01:30
DOI:	10.1093/oep/gpu046
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/2047020