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Does it Matter where you Search? Twitter versus Traditional News Media

Author

Listed:
  • Costas Milas

    (University of Liverpool)

  • Theodore Panagiotidis

    (University of Macedonia)

  • Theologos Dergiades

    (Department of International and European Studies, University of Macedonia)

Abstract

We compare news in Twitter with traditional news outlets and emphasize their differential impact on Eurozone’s sovereign bond market. We reveal a two-way information flow between Twitter’s Grexit tweets and Grexit mentions in traditional news which suggests not only that both types of news serve as important empirical predictors for the sovereign bond market but also that the old (traditional news) and the new (Twitter) media are connected; however, the influence of Twitter on traditional news is stronger. Grexit tweets raise the Greek spread more than Grexit mentions in traditional news. Weak contagion effects are recorded for Portugal and Ireland.

Suggested Citation

  • Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2021. "Does it Matter where you Search? Twitter versus Traditional News Media," Discussion Paper Series 2021_04, Department of Economics, University of Macedonia, revised Feb 2021.
  • Handle: RePEc:mcd:mcddps:2021_04
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    References listed on IDEAS

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    4. Spyridon Boikos & Eirini Makantasi & Theodore Panagiotidis, 2023. "Macroeconomic Uncertainty Indices for European Countries," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 7-56, December.
    5. Ibrahim Filiz & Jan René Judek & Marco Lorenz & Markus Spiwoks, 2021. "Sticky Stock Market Analysts," JRFM, MDPI, vol. 14(12), pages 1-27, December.

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    More about this item

    Keywords

    Grexit; Twitter; Traditional news outlets; Sovereign spreads.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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