Tweets, Google trends, and sovereign spreads in the GIIPS
Theologos Dergiades (),
Costas Milas () and
Oxford Economic Papers, 2015, vol. 67, issue 2, 406-432
We examine whether the information contained in social media (Twitter, Facebook, and 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.
References: Add references at CitEc
Citations: View citations in EconPapers (29) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Tweets, Google Trends and Sovereign Spreads in the GIIPS (2014)
Working Paper: Tweets, Google trends and sovereign spreads in the GIIPS (2013)
Working Paper: Tweets, Google Trends and Sovereign Spreads in the GIIPS (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oup:oxecpp:v:67:y:2015:i:2:p:406-432.
Ordering information: This journal article can be ordered from
Access Statistics for this article
Oxford Economic Papers is currently edited by A. Banerjee and James Forder
More articles in Oxford Economic Papers from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
Bibliographic data for series maintained by Oxford University Press ().