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Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru

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  • Esteban Serrano-Monge

    (Business School, Universidad San Francisco de Quito-USFQ, Diego de Robles y Vía Interoceánica, Quito 170157, Ecuador)

Abstract

For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a proxy of risk I call endogenous risk that analyzes the quarterly variability of economic activity, and second, by calculating a variable of sentiment from Twitter activity. I gauge the impact of both on the country risk metric in addition to variables in existing research about the determinants of country risk. Foreign exchange variables are the most significant determinants of risk for the countries of Colombia and Peru, which actively manage their currency, while Ecuador’s country risk is mostly affected by endogenous risk and macroeconomic fundamentals.

Suggested Citation

  • Esteban Serrano-Monge, 2022. "Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru," JRFM, MDPI, vol. 15(4), pages 1-16, March.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:160-:d:784754
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    References listed on IDEAS

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    1. Sara Casagrande & Bruno Dallago, 2022. "To Be, or Not to Be: The Role of Self-Perception in European Countries’ Performance Assessment," Sustainability, MDPI, vol. 14(20), pages 1-23, October.

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