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

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-06-26 DOI:10.1007/s10614-024-10666-6

Onur Polat, Berna Doğan Başar, İbrahim Halil Ekşi

引用次数: 0

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.

Abstract Image

查看原文本刊更多论文

推特不确定性指数与绿色债券市场之间的动态相互联系：科维德-19 大流行病和俄乌冲突的证据

本研究探讨了绿色债券、基于 Twitter 的不确定性指数和 S&P 500 综合指数之间随时间变化的关联性。我们采用了基于时间和频率的关联性方法，并使用了 2014 年 4 月 1 日至 2023 年 4 月 21 日期间的数据。我们的研究结果表明：(i) 连接度指数能够稳健地捕捉到事件期间的突出事件；(ii) 基于 Twitter 的不确定性指数是回报冲击的最大传播者；(iii) S&P 500 指数传播的净回报溢出效应在 2020:1-2020:3 期间急剧增加，2020 年 2 月的股市暴跌是其主要原因；(iv) 基于 Twitter 的不确定性指数在 2021 年 7 月和 11 月显示出显著的净溢出效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.