Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US
The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and qua...
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| Format: | article |
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2022
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| Online Access: | http://hdl.handle.net/10725/14986 https://doi.org/10.1016/j.bir.2022.07.002 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2214845022000448 |
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| _version_ | 1864513470107484160 |
|---|---|
| author | El Khoury, Rim |
| author2 | Alshater, Muneer M. |
| author2_role | author |
| author_facet | El Khoury, Rim Alshater, Muneer M. |
| author_role | author |
| dc.creator.none.fl_str_mv | El Khoury, Rim Alshater, Muneer M. |
| dc.date.none.fl_str_mv | 2022 2022-09-22 2023-08-31T13:04:10Z 2023-08-31T13:04:10Z |
| dc.identifier.none.fl_str_mv | 2214-8450 http://hdl.handle.net/10725/14986 https://doi.org/10.1016/j.bir.2022.07.002 El Khoury, R., & Alshater, M. M. (2022). Spillovers between Twitter Uncertainty Indexes and sector indexes: Evidence from the US. Borsa Istanbul Review, 22(5), 961-974. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2214845022000448 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Borsa Istanbul Review |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and quantile, to explore the role of TUI in explaining the total connectedness and the net connectedness of each sector. First, our results indicate that industrials and materials are the main net transmitters of shocks, and utilities and energy are the main recipients. Second, TUI increases total connectedness only at higher values of connectedness, suggesting that more diversification benefits are available at low levels of connectedness and TUI. Third, the direction of the TUI's effect on net connectedness changes from one sector to another, indicating that TUI can signal either good or bad news, depending on the sector. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_55ecc45e96390ae0824bd4264ab078a7 |
| identifier_str_mv | 2214-8450 El Khoury, R., & Alshater, M. M. (2022). Spillovers between Twitter Uncertainty Indexes and sector indexes: Evidence from the US. Borsa Istanbul Review, 22(5), 961-974. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/14986 |
| publishDate | 2022 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the USEl Khoury, RimAlshater, Muneer M.The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and quantile, to explore the role of TUI in explaining the total connectedness and the net connectedness of each sector. First, our results indicate that industrials and materials are the main net transmitters of shocks, and utilities and energy are the main recipients. Second, TUI increases total connectedness only at higher values of connectedness, suggesting that more diversification benefits are available at low levels of connectedness and TUI. Third, the direction of the TUI's effect on net connectedness changes from one sector to another, indicating that TUI can signal either good or bad news, depending on the sector.Published2023-08-31T13:04:10Z2023-08-31T13:04:10Z20222022-09-22Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article2214-8450http://hdl.handle.net/10725/14986https://doi.org/10.1016/j.bir.2022.07.002El Khoury, R., & Alshater, M. M. (2022). Spillovers between Twitter Uncertainty Indexes and sector indexes: Evidence from the US. Borsa Istanbul Review, 22(5), 961-974.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttps://www.sciencedirect.com/science/article/pii/S2214845022000448enBorsa Istanbul Reviewinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/149862024-07-10T11:12:15Z |
| spellingShingle | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US El Khoury, Rim |
| status_str | publishedVersion |
| title | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US |
| title_full | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US |
| title_fullStr | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US |
| title_full_unstemmed | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US |
| title_short | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US |
| title_sort | Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US |
| url | http://hdl.handle.net/10725/14986 https://doi.org/10.1016/j.bir.2022.07.002 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2214845022000448 |