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

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


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.


Steps to reproduce

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Universita Bocconi


Finance, Econometrics, Textual Analysis