TWITTER BASED UNCERTAINTY AND STOCK RETURNS CONNECTEDNESS IN CASE OF SELECTED APEC COUNTRIES

Badri Narayan Rath () and Chinmaya Behera ()
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Badri Narayan Rath: Indian Institute of Technology Hyderabad, India
Chinmaya Behera: Goa Institute of Management, Goa, India

Bulletin of Monetary Economics and Banking, 2025, vol. 28, issue Spesial Issue, 1-10

Abstract: The aim of the paper is to unravel evidence of non-linear causality and connectedness between Twitter-based uncertainty and stock market returns for selected APEC countries. By using a non-linear Granger causality test, the study finds that Twitterbased uncertainty causes stock returns of Japan and Singapore. Further, the results also confirm the presence of volatility spillover between Twitter uncertainty and stock returns. Thus, volatility spillover from Twitter-based uncertainty and financial market returns provides insights to investors on adjusting their investments between the countries.

Keywords: Twitter uncertainty; Stock returns; Non-linear causality; TVP-VA; APEC countries (search for similar items in EconPapers)
JEL-codes: G1 G15 G18 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:28:y:2025:i:spc:p:1-10

DOI: 10.59091/2460-9196.2375

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