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

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.