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Tweets, Google Trends and Sovereign Spreads in the GIIPS

We examine whether the information contained in social media (Twitter, Facebook & Google Blogs) and web search intensity (Google) influences financial markets. Using a multivariate system and focussing on Eurozone’s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal and Spain) as well as two of Eurozone’s core countries (France and the Nethelands), 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 and Irish-German government bond yield differential even when other financial control variables (international risk, Eurozone’s risk, default risk and liquidity risk) are accounted for, and to a much lesser extent for Portuguese, Italian and Spanish sovereign yield differentials. Social media discussion and Google search-related queries for the Greek debt crisis do not affect spreads in France and the Netherlands.

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Paper provided by Department of Economics, University of Macedonia in its series Discussion Paper Series with number 2014_04.

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Date of creation: Jun 2014
Date of revision: Jun 2014
Handle: RePEc:mcd:mcddps:2014_04
Contact details of provider: Web page: http://www.uom.gr/index.php?tmima=3

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