Tweets, Google Trends and Sovereign Spreads in the GIIPS

Theologos Dergiades, Costas Milas and Theodore Panagiotidis

GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe from Hellenic Observatory, LSE

Abstract: 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.

Keywords: Google; social media; Greek crisis; frequency domain analysis; GIIPS. (search for similar items in EconPapers)
JEL-codes: C10 G01 G02 (search for similar items in EconPapers)
Date: 2013-10
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Tweets, Google trends, and sovereign spreads in the GIIPS (2015)
Working Paper: Tweets, Google Trends and Sovereign Spreads in the GIIPS (2014)
Working Paper: Tweets, Google trends and sovereign spreads in the GIIPS (2013)
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