This study aims to shed light on the relationship between online activity in news media
sources and stock market reaction. More precisely, I examine whether the use of the
keyword “Grexit” on Twitter and Traditional News media has an effect on the Greek stock
market. Afterwards, the potential contagion is investigated for the GIIPS countries. For the
purpose of this analysis, Mixed Frequency VAR and Mixed Frequency Granger Causality
Analysis is utilized to reveal the supremacy of mixed frequency analysis over common
frequency sampling techniques implemented in the low frequency. I find that the Twitter
“Grexit” Granger cause the Greek stock market in the short run, as well as, contagion
effects are present in the other GIIPS stock markets.
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