We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan, Hollander, Van Lent and Tahoun 2019’s methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.

When the markets Get CO.V.I.D: COntagion, Viruses, and Information Diffusion

Arteaga Garavito, Maria Jose;Croce, Mariano M.
;
Farroni, Paolo;Wolfskeil, Isabella
2024

Abstract

We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan, Hollander, Van Lent and Tahoun 2019’s methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.
2024
2024
Arteaga Garavito, Maria Jose; Croce, Mariano M.; Farroni, Paolo; Wolfskeil, Isabella
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/4061376
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