Tweets, Google trends and sovereign spreads in the GIIPS

Theologos Dergiades, Costas Milas and Theodore Panagiotidis

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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 G0 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2013-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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http://eprints.lse.ac.uk/54405/ Open access version. (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:54405

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