Dynamic Interlinkages between the Twitter Uncertainty Index and the Green Bond Market: Evidence from the Covid-19 Pandemic and the Russian-Ukrainian Conflict

Onur Polat (), Berna Doğan Başar and İbrahim Halil Ekşi
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Onur Polat: Bilecik Şeyh Edebali University
Berna Doğan Başar: Gaziantep University
İbrahim Halil Ekşi: Gaziantep University

Computational Economics, 2025, vol. 65, issue 5, No 17, 2873-2889

Abstract: Abstract This study examines the time-varying connectedness between green bonds, Twitter-based uncertainty indices, and the S&P 500 Composite Index. We implement the time- and frequency-based connectedness methodologies and employ data between April 1, 2014 and April 21, 2023. Our findings suggest that (i) connectedness indices robustly capture prominent incidents during the episode; (ii) Twitter-based uncertainty indices are the highest transmitters of return shocks; (iii) net return spillovers transmitted by the S&P 500 Index sharply increased in 2020:1–2020:3, stemmed by the stock market crash in February 2020; and (iv) Twitter-based uncertainty indices showed significant net spillovers in July and November 2021.

Keywords: Green bonds; twitter; Based uncertainty measures; frequency; Based connectedness network; TVP; VAR (search for similar items in EconPapers)
JEL-codes: D81 G12 G15 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10614-024-10666-6

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