 Twitter-based market uncertainty and global stock volatility predictabilityYong Ma, Shuaibing Li and Mingtao Zhou The North American Journal of Economics and Finance, 2025, vol. 75, issue PA Abstract: This study integrates Twitter-based market uncertainty (TMU) into the predictive framework of daily volatility in twenty international equity markets. The study reveals that TMU has a strong predictive ability for stock volatility from both in- and out-of-sample perspectives. Interestingly, despite Twitter being inaccessible in China, the interconnectedness of global financial markets allows it to indirectly impact China’s stock market volatility. The research also highlights that TMU plays a particularly significant role in forecasting stock market volatility during turbulent periods, such as the COVID-19 epidemic. Furthermore, integrating TMU into the volatility prediction framework leads to an improvement in economic value. These findings are essential for policymakers to develop effective market-stabilizing policies and for investors to enhance the management of their investment portfolios. Keywords: Volatility forecast; Uncertainty; Twitter; Out-of-sample; Predictive regression (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001815 DOI: 10.1016/j.najef.2024.102256 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.