Tweets, Google trends, and sovereign spreads in the GIIPS

摘要

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 GUPS (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.