A0234
Title: The impact of news-based and Twitter-based economic uncertainty on realized volatility
Authors: Qing Bai - Dickinson College (United States)
Cathy W-S Chen - Feng Chia University (Taiwan)
Shaonan Tian - San Jose State University (United States) [presenting]
Abstract: Employing a two-regime threshold quantile autoregressive model with exogenous variables and GARCH specification, the focus is on looking into the dynamic relationship between perceived uncertainty and realized equity volatility using Twitter-based and newspaper-based economic uncertainty measures across diverse market conditions. Findings reveal that these indicators capture various facets of uncertainty and display diverse behavior in stable and volatile markets. Specifically, Twitter-based indicators show a pronounced positive impact on realized volatility during market upturns, while the newspaper-based indicator becomes more relevant in highly volatile conditions. Factors highlighted that drive aggregate market volatility can shift between different regimes, even under the same market conditions.
