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Tweets, Google trends and sovereign spreads in the GIIPS

Dergiades, Theologos, Milas, Costas and Panagiotidis, Theodore (2013) Tweets, Google trends and sovereign spreads in the GIIPS. Hellenic Observatory Papers on Greece and Southeast Europe (GreeSE paper No.78). Hellenic Observatory, The London School of Economics and Political Science, London, UK.

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Abstract

We examine whether the information contained in social media (Twitter & Facebook) and web search queries (Google) influences financial markets. Using a multivariate system and focussing on Eurozone’s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal and Spain), 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 government bond yield differential even when other financial control variables (default risk, liquidity risk and international risk) are accounted for, and to a much lesser extent for Portuguese and Italian sovereign yield differentials.

Item Type: Monograph (Working Paper)
Official URL: http://www.lse.ac.uk/collections/hellenicObservato...
Additional Information: © 2013 The Authors
Divisions: European Institute
Hellenic Observatory
Subjects: H Social Sciences > H Social Sciences (General)
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General
G - Financial Economics > G0 - General
Sets: Departments > European Institute
Collections > Economists Online
Research centres and groups > Hellenic Observatory
Date Deposited: 18 Nov 2013 14:59
Last Modified: 16 Oct 2019 23:27
URI: http://eprints.lse.ac.uk/id/eprint/54405

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