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

Author

Listed:
  • Onur Polat

    (Bilecik Şeyh Edebali University)

  • Berna Doğan Başar

    (Gaziantep University)

  • İbrahim Halil Ekşi

    (Gaziantep University)

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.

Suggested Citation

  • Onur Polat & Berna Doğan Başar & İbrahim Halil Ekşi, 2025. "Dynamic Interlinkages between the Twitter Uncertainty Index and the Green Bond Market: Evidence from the Covid-19 Pandemic and the Russian-Ukrainian Conflict," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2873-2889, May.
    • Handle: RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10666-6
    DOI: 10.1007/s10614-024-10666-6
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    Keywords

    Green bonds; twitter; Based uncertainty measures; frequency; Based connectedness network; TVP; VAR;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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