When the markets get COVID: COntagion, Viruses, and Information Diffusion ☆

• 成果类型: Article
• 署名作者: Arteaga-Garavito, Maria Jose; Croce, Mariano M.; Farroni, Paolo; Wolfskeil, Isabella
• 署名单位: Bocconi University; Centre for Economic Policy Research - UK; Bocconi University; European Central Bank; Bank of Italy; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103850
• 发表日期: 2024
• 关键词: asset prices; Pandemic risk; Medical announcements; Text analysis

摘要

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 et al., 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.