Can Twitter-based economic uncertainty predict safe-haven assets under all market conditions and investment horizons?

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dc.authorid0000-0002-9216-5210en_US
dc.authorid0000-0003-2628-5027en_US
dc.authorid0000-0001-5449-0568en_US
dc.contributor.authorGök, Remzi
dc.contributor.authorBouri, Elie
dc.contributor.authorGemici, Eray
dc.date.accessioned2024-03-01T10:48:57Z
dc.date.available2024-03-01T10:48:57Z
dc.date.issued2022en_US
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractThis paper examines the Granger causality from Twitter-based economic uncertainty (TEU) to three safe-haven assets – Bitcoin, gold, and US10 year Treasury notes. Using daily data (June 1, 2011–August 30, 2021) and causality-in-quantiles and wavelets methods, the results indicate variability in the causality between the mean and variance, as well as the market conditions. TEU Granger-causes the returns and volatility of Treasuries, the volatility but not returns of Bitcoin, and neither the volatility nor the returns of gold for the raw series, and the causality is mostly significant at low and middle quantiles for Bitcoin and Treasuries. We include other risk factors and confirm the variability in the causality. Considering the possibility of a hidden causality over various frequency domains due to investors' heterogeneous expectations and perceptions of risk, the wavelet transforms-based causality tests reveal an increase in the predictability of risk indicators under specific investment horizons and market conditions. During the pandemic, TEU strongly predicts future volatility of Treasury and Bitcoin returns, reflecting the importance of social-media posts for safe-haven pricing. These findings highlight the benefits of applying the causality-in-quantiles test to decomposed series to determine the contribution of each scale to the causality over various market conditions.en_US
dc.identifier.citationGök, R., Bouri, E. ve Gemici, E. (2022). Can Twitter-based economic uncertainty predict safe-haven assets under all market conditions and investment horizons?. Technological Forecasting and Social Change,185, 1-21.en_US
dc.identifier.doi10.1016/j.techfore.2022.122091
dc.identifier.endpage21en_US
dc.identifier.issn0040-1625
dc.identifier.scopus2-s2.0-85139736491
dc.identifier.scopusqualityQ1
dc.identifier.startpage1en_US
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S0040162522006126?via%3Dihub
dc.identifier.urihttps://hdl.handle.net/11468/13450
dc.identifier.volume185en_US
dc.identifier.wosWOS:000891771100001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.language.isoenen_US
dc.publisherElsevier Inc.en_US
dc.relation.ispartofTechnological Forecasting and Social Change
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectBitcoinen_US
dc.subjectCausality-in-quantilesen_US
dc.subjectFlight-to-safetyen_US
dc.subjectGolden_US
dc.subjectWaveletsen_US
dc.subjectUS treasury notesen_US
dc.titleCan Twitter-based economic uncertainty predict safe-haven assets under all market conditions and investment horizons?en_US
dc.titleCan Twitter-based economic uncertainty predict safe-haven assets under all market conditions and investment horizons?
dc.typeArticleen_US

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