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Twitter-based uncertainty and stock market returns: Evidence from G7 countries
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NETL
NSTL
Wiley
The aim of this study is to investigate the impact of Twitter-based economicuncertainty (TEU) and Twitter-based market uncertainty (TMU) on G7 stockreturns in the challenging year in which the COVID-19 pandemic began(2020) under different stock market conditions (bearish, normal, and bullish).To this aim, this study applies novel quantile-based approaches, namely Quantile autoregression unit root test, Quantile-on-quantile approach, and QuantileGranger-causality test covering the period from 01 January 2020 to15 September 2020. Main findings of the study are (1) G7 stock return seriesare stationary for all quantiles of the conditional distributions with minorexceptions meaning that shocks have temporary effects on stock returns of G7markets. (2) The impact of Twitter-based uncertainty strongly depends on themarket condition, whether it is bullish or bearish for all G7 markets. A heterogeneous association exists between variables caused by different market conditions. (3) A bi-directional causal association exists between stock returns-TEUand stock returns-TMU. This result confirms the existence of feedback hypothesis between G7 stock returns and TEU, TMU, respectively. This study provides important policy implications and recommendations for policy makersand investors on the nexus between Twitter-based uncertainties and stockreturns.
NETL
NSTL
Wiley
