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Tweets, Google Trends and Sovereign Spreads in the GIIPS

  • Theologos Dergiades
  • Costas Milas
  • Theodore Panagiotidis

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://www.lse.ac.uk/europeanInstitute/research/hellenicObservatory/CMS%20pdf/Publications/GreeSE/GreeSE-No78.pdf
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Paper provided by Hellenic Observatory, LSE in its series GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe with number 78.

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Date of creation: Oct 2013
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Handle: RePEc:hel:greese:78
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