Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index

Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US

“…This may be interpreted imply that this sectors outperforms regaining market confidence with massive vaccine rollout. The findings are in line with the recent studies by Rouatbi et al ( 2021 ), which conclude that COVID-19 vaccine plays an important role in stabilizing global equity markets, Yousaf et al ( 2022a , 2022b ), who find that media framing messages imprinting fear promote higher acceptance of vaccination.…”

“…As of October 03, 2021, the total numbers of Coronavirus cases, recoveries, and deaths in the US are, respectively, equal to 44.49 million, 33.92 million, and 0.72 million. 1 The financial markets of the US have been hardly hit during the initial phase of the COVID-19 pandemic (Mazur et al, 2021 ; Qureshi, 2021 ; Yousaf et al, 2022a , 2022b ). For instance, the S&P 500 index has lost one-third of its value from February 19, 2020, to March 23, 2020, the latter being the date of the apogee of the COVID-caused market meltdown, registered at the latter date.…”

Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict

“…The attention of academics and practitioners towards assessing the extreme financial effects of market crises has risen in recent periods because of the COVID-19 pandemic crisis, where various financial markets’ reactions and overall economic recovery have been investigated widely (see, e.g., Refs. [ 1 , 15 , 20 , 24 , 25 , [27] , [28] , [29] , [30] , [31] , [32] , [33] , [34] ]). Meanwhile, discussions on the effects of geopolitical and military actions on financial markets are relatively scanty, particularly in the ongoing military tensions between Russia and Ukraine.…”

“…Note that although other quantile-based techniques, such as the quantile-connectedness approach (as employed by Refs. [ [23] , [24] , [25] ]) and the quantile-VAR technique [ 26 ], tail-event-network [ 15 ], etc., may be relevant in their domains, their application in this study will not help us analyze the relationship between the dependent and independent variables across different quantiles of both variables. Analyzing the relationship between the variables across the quantiles of both the dependent and the independent variables is important because the dynamics portrayed by the dependent variable are almost always different from the independent variable such that the dependent variable, in this case, a named stock market, could be in a bullish condition while the independent variable, in this case, GPR, may be in either a normal or bearish condition.…”

Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic

“…To further investigate the role of Twitter investor engagement on predicting the cryptocurrency returns, we examined their connectedness using the mean-based VAR (vector autoregressive) method ( Diebold and Yilmaz, 2012 , Yousaf et al, 2022 ). More precisely, we focused on two directional spillover measures, FROM i,j and TO j,i , to show the effects between variables i and j.…”