Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets

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See all articles by Costas Milas

Costas Milas

University of Liverpool

Theodore Panagiotidis

University of Macedonia - Department of Economics

Theologos Dergiades

University of Macedonia - Department of International and European Studies

Date Written: November 28, 2018

Abstract

This paper compares news in Twitter with traditional news outlets and then emphasizes their differential impact on Eurozone’s sovereign bond market for a homogeneous news topic. We find a two-way information flow between Twitter’s “Grexit” tweets and the respective mentions in traditional news outlets. The influence of Twitter on the traditional news is consistently more prolonged, especially in high-activity periods. We also assess the differential impact of the two news sources on sovereign spreads over and above the impact of economic/financial fundamentals, namely measures of default risk, liquidity risk and global financial risk. Our focus is on the borrowing costs of Eurozone’s periphery; for comparison reasons, we also consider France as a core Eurozone country. The effect of Twitter on the Greek sovereign spread is positive and of higher magnitude than that of traditional news outlets. Weak contagion effects are recorded primarily for the case of Portugal and Ireland.

Keywords: Grexit, Twitter, Traditional news outlets, Sovereign spreads.

JEL Classification: C10, G01, G12

Suggested Citation

Milas, Costas and Panagiotidis, Theodore and Dergiades, Theologos, Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets (November 28, 2018). Available at SSRN: https://ssrn.com/abstract=

Costas Milas (Contact Author)

University of Liverpool ( email )

Chatham Street
Liverpool
United Kingdom

Theodore Panagiotidis

University of Macedonia - Department of Economics ( email )

Thessaloniki, 54006
Greece

HOME PAGE: http://users.uom.gr/~tpanag/

Theologos Dergiades

University of Macedonia - Department of International and European Studies ( email )

Egnatia str. 156
Thessaloniki, 54636
Greece

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