HOW ASEAN4 CONVENTIONAL, ISLAMIC, AND ESG INDICES REACT TO TWITTER MARKET UNCERTAINTY?

Zaheer Anwer ()
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Zaheer Anwer: Sunway Business School, Sunway University, Malaysia

Journal of Islamic Monetary Economics and Finance, 2025, vol. 11, issue 3, 471-510

Abstract: We investigate the time varying return spillover of ASEAN4 asset classes from four countries including Thailand, Philippines, Malaysia and Indonesia, and Twitter based market uncertainty measure, using daily data from 01-Sep-2014 to 21-Apr-2023. The estimations are performed using TVP-VAR approach. The results reveal that the dynamic connectedness of ASEAN4 markets fluctuates significantly. It peaked during bearish periods (2015-2016 and 2020) and remained low during market booms (2017-2018 and 2022). Islamic and ESG indices exhibit patterns similar to conventional indices. Indonesia and Malaysia emerge as net shock transmitters until the pandemic, with Thailand becoming a net transmitter post-COVID. Thailand’s role shifts between receiver and transmitter based on economic conditions relative to other ASEAN countries. Twitter Market Uncertainty Index (TMUENG) primarily remains a receiver, with limited impact on ASEAN4 Conventional, Islamic, and ESG indices. The findings are robust to a battery of robustness tests and carry important policy implications for investors and policymakers.

Keywords: ASEAN4; Twitter market uncertainty; Islamic finance; ESG investments (search for similar items in EconPapers)
JEL-codes: G15 G32 G41 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:idn:jimfjn:v:11:y:2025:i:3b:p:471-510

DOI: 10.21098/jimf.v11i3.2699

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