Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks

Stephan Bales, Kaspar Burghartz, Hans-Peter Burghof and Lukas Hitz

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: This study examines if the source of uncertainty (newspaper, Twitter, financial market) matters in its impact on bank stock returns in the United States. By applying discrete wavelet transformation, we model directional spillovers and Granger causality between uncertainty and bank returns for different time horizons. Our results demonstrate that this distinction between time horizons is crucial. Although newspaper and Twitter-based measures are correlated, they capture a different source of investor perception. Twitter-based uncertainty adversely affects bank stocks in the short run, while newspaper-based policy uncertainty is relevant in the medium run. Financial-based uncertainty, VIX, is the most important factor. Moreover, we find that the impact of uncertainty on bank returns is stronger during the COVID-19 pandemic and for banks with a high ratio of loans to total assets and large off-balance-sheet activities.

Keywords: Bank returns; Twitter uncertainty; Policy uncertainty; VIX; Wavelets (search for similar items in EconPapers)
JEL-codes: C40 F30 G15 G21 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000533

DOI: 10.1016/j.ribaf.2023.101927

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