Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets

Costas Milas, Theodore Panagiotidis and Theologos Dergiades

Working Paper series from Rimini Centre for Economic Analysis

Abstract: This paper compares news in Twitter with traditional news outlets and then emphasizes their differential impact on Eurozone's sovereign bond market for a homogeneous news topic. We find a two-way information flow between Twitter's “Grexit” tweets and the respective mentions in traditional news outlets. The influence of Twitter on the traditional news is consistently more prolonged, especially in high-activity periods. We also assess the differential impact of the two news sources on sovereign spreads over and above the impact of economic/financial fundamentals, namely measures of default risk, liquidity risk and global financial risk. Our focus is on the borrowing costs of Eurozone's periphery; for comparison reasons, we also consider France as a core Eurozone country. The effect of Twitter on the Greek sovereign spread is positive and of higher magnitude than that of traditional news outlets. Weak contagion effects are recorded primarily for the case of Portugal and Ireland.

Keywords: Grexit; Twitter; Traditional news outlets; Sovereign spreads (search for similar items in EconPapers)
JEL-codes: C10 G01 G12 (search for similar items in EconPapers)
Date: 2018-12
New Economics Papers: this item is included in nep-eec, nep-fmk, nep-mst and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:18-42

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