Tweets, Google Trends and Sovereign Spreads in the GIIPS

Theologos Dergiades, Costas Milas and Theodore Panagiotidis

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We examine whether the information contained in social media (Twitter, Facebook & 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.

Keywords: Google; social media; Greek crisis; frequency domain analysis; GIIPS. (search for similar items in EconPapers)
JEL-codes: C10 G01 G02 (search for similar items in EconPapers)
Date: 2014-06, Revised 2014-06
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (11)

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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 (2013)
Working Paper: Tweets, Google Trends and Sovereign Spreads in the GIIPS (2013)
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