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

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  • Chinmaya Behera
  • Badri Narayan Rath

Abstract

Although a plethora of studies exists on economic uncertainty and stock market returns, our study contributes to the literature by examining the interconnectedness between Twitter uncertainty index and stock return volatility in the G7 countries. Using the dynamic connectedness approach, our results indicate volatility spillover among indices, where on average, 39.71% of a shock that occurs on one index spills over to all other indices. Further, we find the DAX index (Germany) to be a major transmitter of shocks, whereas the S&P 500 index (United States), Twitter market uncertainty, and G7 average returns are net receivers of shocks. Our findings will help investors select optimal portfolios, and policymakers frame stabilizing policy. Our findings are also robust in case of the alternate model.

Suggested Citation

  • Chinmaya Behera & Badri Narayan Rath, 2022. "The connectedness between Twitter uncertainty index and stock return volatility in the G7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 29(20), pages 1876-1879, November.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:20:p:1876-1879
    DOI: 10.1080/13504851.2021.1963656
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    Cited by:

    1. Farah Durani, 2024. "Time-varying Relationship between Fossil Fuel-Free Energy Indices and Economic Uncertainty: Global Evidence from Wavelet Coherence Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 663-672, January.
    2. Abdollahi, Hooman & Fjesme, Sturla L. & Sirnes, Espen, 2024. "Measuring market volatility connectedness to media sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    3. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
    4. Kingstone Nyakurukwa & Yudhvir Seetharam, 2024. "Twitter policy uncertainty and stock returns in South Africa: Evidence from time‐varying Granger causality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2675-2684, November.

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