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

被引：11

作者：

Arteaga-Garavito, Maria Jose ^{[1
]}

Croce, Mariano M. ^{[1
,2
,3
,4
]}

Farroni, Paolo ^{[5
]}

Wolfskeil, Isabella ^{[6
]}

机构：

[1] Bocconi Univ, via Sarfatti, 25, I-20123 Milan, Italy

[2] CEPR, London, England

[3] Baffi, Milan, Italy

[4] IGIER, Milan, Italy

[5] Bank Italy, via Nazl, Rome, Italy

[6] Fed Reserve Board, Washington, DC USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2024年 / 157卷

关键词：

Asset prices; Pandemic risk; Medical announcements; Text analysis; CROSS-SECTION; RISK; RETURNS;

D O I：

10.1016/j.jfineco.2024.103850

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页数：17

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