Dynamic Interlinkages between the Twitter Uncertainty Index and the Green Bond Market: Evidence from the Covid-19 Pandemic and the Russian-Ukrainian Conflict

POLAT O., Başar B. D., Ekşi İ. H.

Computational Economics, 2024 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Publication Date: 2024
  • Doi Number: 10.1007/s10614-024-10666-6
  • Journal Name: Computational Economics
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, EconLit, INSPEC, zbMATH
  • Keywords: Based connectedness network, TVP, Based uncertainty measures, frequency, D81, G12, G15, Green bonds, twitter, VAR
  • Bilecik Şeyh Edebali University Affiliated: Yes

Abstract

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.