Dynamic Interlinkages between the Twitter Uncertainty Index and the Green Bond Market: Evidence from the Covid-19 Pandemic and the Russian-Ukrainian Conflict
Computational Economics, cilt.65, sa.5, ss.2873-2889, 2025 (SCI-Expanded, SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 65 Sayı: 5
- Basım Tarihi: 2025
- Doi Numarası: 10.1007/s10614-024-10666-6
- Dergi Adı: Computational Economics
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, EconLit, INSPEC, zbMATH
- Sayfa Sayıları: ss.2873-2889
- Anahtar Kelimeler: Based connectedness network, TVP, Based uncertainty measures, frequency, Green bonds, twitter, VAR
- Bilecik Şeyh Edebali Üniversitesi Adresli: Evet
Özet
This study examines the time-varying connectedness between green bonds, Twitter-based uncertainty indices, and the S&P 500 Composite Index. We implement the time- and frequency-based connectedness methodologies and employ data between April 1, 2014 and April 21, 2023. Our findings suggest that (i) connectedness indices robustly capture prominent incidents during the episode; (ii) Twitter-based uncertainty indices are the highest transmitters of return shocks; (iii) net return spillovers transmitted by the S&P 500 Index sharply increased in 2020:1–2020:3, stemmed by the stock market crash in February 2020; and (iv) Twitter-based uncertainty indices showed significant net spillovers in July and November 2021.