Twitter Based Uncertainty and Stock Returns Connectedness In Case of Selected APEC Countries

Authors

Badri Narayan Rath, Indian Institute of Technology Hyderabad, IndiaFollow
Chinmaya Behera, Goa Institute of Management, IndiaFollow

Document Type

Call for Paper

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.

Recommended Citation

Rath, Badri Narayan and Behera, Chinmaya (2025) "Twitter Based Uncertainty and Stock Returns Connectedness In Case of Selected APEC Countries," Bulletin of Monetary Economics and Banking: Vol. 28: No. 0, Article 3.
DOI: https://doi.org/10.59091/2460-9196.2375
Available at: https://bulletin.bmeb-bi.org/bmeb/vol28/iss0/3

First Page

1

Last Page

10

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

India

Affiliation

Indian Institute of Technology Hyderabad