Twitter-Based Economic Uncertainty and US Energy Market - An Investigation Using Wavelet Coherence

Seyed Alireza Athari, Ali Awais Khalid and Qasim Raza Syed ()
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Qasim Raza Syed: Department of Business Administration, Cyprus International University, Turkey

Energy RESEARCH LETTERS, 2024, vol. 5, issue 1, 1-7

Abstract: This study investigates the co-movement between the Twitter-based economic uncertainty index (TEU) and US energy stocks using the wavelet coherence method. The results reveal a homogenous negative co-movement of the TEU with the energy stocks, implying that a rise in TEU leads to declining energy stock prices. Nevertheless, a heterogeneous co-movement of the TEU with other sectors has been detected in the US market. Besides, the results reveal a positive and significant co-movement of the TEU with the Standard & Poor (S&P) 500 index over the medium and long-term horizons though the co-movement became more pronounced during COVID-19.

Keywords: US energy stocks; Twitter-based economic uncertainty; Wavelet (search for similar items in EconPapers)
JEL-codes: D53 D81 G11 G12 G15 (search for similar items in EconPapers)
Date: 2024
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