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Tweets, Google Trends and Sovereign Spreads in the GIIPS

Abstract

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

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

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Find related papers by JEL classification:
  • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
  • G01 - Financial Economics - - General - - - Financial Crises
  • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

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Cited by:

  1. De Santis, Roberto A. & Stein, Michael, 2014. "Financial indicators signalling correlation changes in sovereign bond markets," Working Paper Series 1746, European Central Bank.
  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. 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.
  4. Stavros Thomadakis, Dimitrios Gounopoulos, Christos Nounis and Michalis Riginos, 2014. "Financial Innovation and Growth: Listings and IPOs from 1880 to World War II in the Athens Stock Exchange," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 86, Hellenic Observatory, LSE.
  5. 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.
  6. 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.

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