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When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion

Author

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  • Arteaga-Garavito, Maria Jose
  • Croce, Mariano M.
  • Farroni, Paolo
  • Wolfskeil, Isabella

Abstract

We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan et al., 2019’s methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.

Suggested Citation

  • Arteaga-Garavito, Maria Jose & Croce, Mariano M. & Farroni, Paolo & Wolfskeil, Isabella, 2024. "When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion," Journal of Financial Economics, Elsevier, vol. 157(C).
    • Handle: RePEc:eee:jfinec:v:157:y:2024:i:c:s0304405x24000734
    DOI: 10.1016/j.jfineco.2024.103850
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    More about this item

    Keywords

    Asset prices; Pandemic risk; Medical announcements; Text analysis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • I10 - Health, Education, and Welfare - - Health - - - General

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