773
Views
4
CrossRef citations to date
0
Altmetric
Research Article

The connectedness between Twitter uncertainty index and stock return volatility in the G7 countries

&

References

  • Baker, S. R., Bloom, N., and S. J. Davis. 2016. “Measuring Economic Policy Uncertainty.„ The Quarterly Journal of Economics131(4): 1593–1636
  • Baker, S. R., N. Bloom, S. J. Davis, and T. Renault 2021. “Twitter-Derived Measures of Economics Uncertainty.” https://www.policyuncertainty.com/media/Twitter_Uncertainty_5_13_2021.pdf
  • Behrendt, S., and A. Schmidt. 2018. “The Twitter Myth Revisited: Intraday Investor Sentiment, Twitter Activity and Individual-level Stock Return Volatility.” Journal of Banking and Finance 96: 355–367. doi:10.1016/j.jbankfin.2018.09.016.
  • Bouri, E., D. Gabauer, R. Gupta, and A. K. Tiwari. 2021. “Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness.” Journal of Behavioral and Experimental Finance 30: 100463. doi:10.1016/j.jbef.2021.100463.
  • Diebold, F. X., and K. Yilmaz. 2009. “Measuring Financial Asset Return and Volatility Spillovers with Application to Global Equity Markets.” The Economic Journal 119 (534): 158–171. doi:10.1111/j.1468-0297.2008.02208.x.
  • Diebold, F. X., and K. Yilmaz. 2012. “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.” International Journal of Forecasting 28 (1): 57–66. doi:10.1016/j.ijforecast.2011.02.006.
  • Fasanya, I. O., O. J. Oyewole, and T. Agbatogun. 2021. “How Does Economic Policy Uncertainty Connect with the Volatility Spillovers in Asia-Pacific Markets?” Asian Economics Letters 2: 2. doi:10.46557/001c.21437.
  • Gabauer, D. 2020. “Volatility Impulse Response Analysis for DCC‐GARCH Models: The Role of Volatility Transmission Mechanisms.” Journal of Forecasting 39 (5): 788–796. doi:10.1002/for.2648.
  • Hoque, M. E., and M. A. Zaidi. 2018. “The Impacts of Global Economic Policy Uncertainty on Stock Market Returns in Regime Switching Environment: Evidence from Sectoral Perspectives.” International Journal Financial Economics 5 (1): 1–26.
  • Iyke, B. N. 2020. “Economic Policy Uncertainty in Times of COVID-19 Pandemic.” Asian Economics Letters 1: 2. doi:10.46557/001c.17665.
  • Kang, S. H., and S. M. Yoon. 2019. “Dynamic Connectedness Network in Economic Policy Uncertainties.” Applied Economics Letters 26 (1): 74–78. doi:10.1080/13504851.2018.1438580.
  • Nisar, T. M., and M. Yeung. 2018. “Twitter as A Tool for Forecasting Stock Market Movements: A Short-window Event Study.” The Journal of Finance and Data Science 4 (2): 101–119. doi:10.1016/j.jfds.2017.11.002.
  • Öztürk, S. S., and M. E. Bilgiç. 2021. “Twitter & Bitcoin: Are the Most Influential Accounts Really Influential?” Applied Economics Letters 1–4. doi:10.1080/13504851.2021.1904104.
  • Tommasetti, R., V. Mothé Maia, and M. Á. da Silva Macedo. 2021. “Twitter as ‘Bully Pulpit’: Brazilian Banking Sector Case.” Applied Economics Letters 28 (1): 61–64. doi:10.1080/13504851.2020.1730753.
  • Valle-Cruz, D., V. Fernandez-Cortez, and A. López-Chau. 2021. “Does Twitter Affect Stock Market Decisions? Financial Sentiment Analysis during Pandemics: A Comparative Study of the H1N1 and the COVID-19 Periods.” Cognitive Computation. doi:10.1007/s12559-021-09819-8.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.