Impact of Negative Tweets on Diverse Assets during Stressful Events: An Investigation through Time-Varying Connectedness

N. L. Balasudarsun, Bikramaditya Ghosh and Sathish Mahendran
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N. L. Balasudarsun: Symbiosis Institute of Business Management, Symbiosis International (Deemed University), Electronic City, Phase-I, Bengaluru 560100, Karnataka, India
Bikramaditya Ghosh: Symbiosis Institute of Business Management, Symbiosis International (Deemed University), Electronic City, Phase-I, Bengaluru 560100, Karnataka, India
Sathish Mahendran: Symbiosis Institute of Business Management, Symbiosis International (Deemed University), Electronic City, Phase-I, Bengaluru 560100, Karnataka, India

JRFM, 2022, vol. 15, issue 6, 1-12

Abstract: Tweets seem to impact diverse assets, especially during stressful periods. However, their interrelations during stressful events may change. Cryptos are apparently more sensitive to the sentiment spread by tweets. Therefore, a construct could be formed to study such complex interrelation during stressful events. This study found an interesting outcome while investigating three major asset classes (namely, Equity, Gold and Bond) alongside negative sentiment (derived from tweets of Elon Musk) and Dogecoin (an emerging asset class) from 1 June 2015 to 20 February 2022. Negative sentiment emerged as the significant risk transmitter, while Gold emerged as the significant net recipient of shocks (risk). Interestingly, Dogecoin was found to be less impacted and not impactful (not transmitting shock and receiving tiny shocks) at the same time. In fact, the interconnectedness between negative sentiment (percolated through Twitter) and Dogecoin prices was found to be rather feeble. Further, the study showed that the COVID-19 breakout and Brexit referendum in 2016 were less stressful events compared to the Greek debt crisis back in 2015.

Keywords: negative sentiments; textual analysis; financial catastrophe (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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