When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion

Maria Jose Arteaga-Garavito, Mariano M. Croce, Paolo Farroni and Isabella Wolfskeil

Journal of Financial Economics, 2024, vol. 157, issue C

Abstract: We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan et al., 2019’s methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.

Keywords: Asset prices; Pandemic risk; Medical announcements; Text analysis (search for similar items in EconPapers)
JEL-codes: G12 G15 I10 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:157:y:2024:i:c:s0304405x24000734

DOI: 10.1016/j.jfineco.2024.103850

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