Does it Matter where you Search? Twitter versus Traditional News Media

Costas Milas, Theodore Panagiotidis and Theologos Dergiades

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We compare news in Twitter with traditional news outlets and emphasize their differential impact on Eurozone’s sovereign bond market. We reveal a two-way information flow between Twitter’s Grexit tweets and Grexit mentions in traditional news which suggests not only that both types of news serve as important empirical predictors for the sovereign bond market but also that the old (traditional news) and the new (Twitter) media are connected; however, the influence of Twitter on traditional news is stronger. Grexit tweets raise the Greek spread more than Grexit mentions in traditional news. Weak contagion effects are recorded for 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: 2021-02, Revised 2021-02
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (8)

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Journal Article: Does It Matter Where You Search? Twitter versus Traditional News Media (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:mcd:mcddps:2021_04

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