当市场出现 CO.V.I.D：传染、病毒和信息扩散时

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-05-13 DOI:10.1016/j.jfineco.2024.103850

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

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引用次数: 0

摘要

我们量化了主要金融市场受全球传染风险新闻冲击的影响程度，同时考虑了当地的疫情状况。我们为众多国家构建了一个新颖的数据集，其中包括：(i) COVID19 的相关公告；(ii) 通过 Twitter 传播的疫情新闻的高频数据（Hassan 等人，2019 年的方法论）。我们提供了有关疫情公告前后以及每日/日内频率的金融动态的新经验证据。对有关 COVID19 的传染数据和社交媒体活动的分析表明，传染风险的市场价格很高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.