When The Markets get CO.V.I.D.

Published: 8 April 2024| Version 1 | DOI: 10.17632/dfh8s3m8yk.1
Contributor:
Max Croce

Description

All codes and (simulated) data required to replicate this manuscript. Our abstract follows: 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.

Files

Steps to reproduce

See files in our zipped folder.

Institutions

Universita Bocconi

Categories

Finance, Econometrics, Textual Analysis

Licence