When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion
量化了主要金融市场对全球传染风险新闻冲击的暴露程度，同时考虑了当地疫情状况，为理解疫情相关新闻如何影响金融动态提供了新证据。
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.