Tweets, Google trends, and sovereign spreads in the GIIPS

dergiades, theologs; milas, costas; panagiotidis, theodore;

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.