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Tweets, Google trends and sovereign spreads in the GIIPS

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  • Theologos Dergiades
  • Costas Milas
  • Theodore Panagiotidis

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.

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File URL: http://eprints.lse.ac.uk/54405/
File Function: Open access version.
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Bibliographic Info

Paper provided by London School of Economics and Political Science, LSE Library in its series LSE Research Online Documents on Economics with number 54405.

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Length: 32 pages
Date of creation: Oct 2013
Date of revision:
Handle: RePEc:ehl:lserod:54405

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Keywords: Google; social media; Greek crisis; frequency domain analysis; GIIPS;

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Citations

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Cited by:
  1. Nicos Christodoulakis, 2014. "The Conflict Trap in the Greek Civil War 1946-1949: An economic approach," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 83, Hellenic Observatory, LSE.
  2. Nicholas Apergis & Arusha Cooray, 2013. "New evidence on the remedies of the Greek sovereign debt problem," LSE Research Online Documents on Economics 55266, London School of Economics and Political Science, LSE Library.
  3. Vassilis Monastiriotis & Angelo Martelli, 2013. "Beyond Rising Unemployment: Unemployment Risk, Crisis and Regional Adjustments in Greece," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 80, Hellenic Observatory, LSE.
  4. Nick Papandreou, 2014. "Life in the First Person and the Art of Political Storytelling:The Rhetoric of Andreas Papandreou," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 85, Hellenic Observatory, LSE.

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