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 COVID-19 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 COVID-19 suggest that the market price of contagion risk is significant.
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The paper combines two new datasets: hand-collected COVID-19 medical announcements, and COVID-related news that major newspapers posted on Twitter. Each has its own page with interactive charts.
How COVID news spread through major newspapers' Twitter accounts, the tone of that news, and the market price of contagion risk.
Open →Equity and bond returns in the 60 minutes before and after official COVID-19 medical announcements.
Open →Country-by-country topic models of English-language newspaper tweets about COVID.
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