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Green bond market and Sentiment: Is there a switching Behaviour?

  • Academic Journal
  • Piñeiro-Chousa, Juan1 (AUTHOR)
    López-Cabarcos, M. Ángeles1 (AUTHOR)
    Šević, Aleksandar2 (AUTHOR)
  • Journal of Business Research. Mar2022, Vol. 141, p520-527. 8p.
  • We examine the impact of Twitter sentiment on the returns of four selected bond indices via the selection of relevant threshold variables, such as the S&P 500 Index, the VIX, and the MSCI World Index. If overreaction or underreaction to significant changes in the market occur regularly (De Bondt and Thaler, 1985, 1987; Jegadeesh and Titman, 1993), it is assumed that Twitter users respond with different intensities in the case of rising, falling or rather indeterminable markets. We fail to find evidence that the S&P 500 Index and VIX are relevant in supporting the switching behaviour. However, the MSCI World Index, to a certain extent, causes this relationship to diverge from the linear one. These claims become stronger when lagged and cubic sentiment variables have been included in the panel smooth transition regression (PSTR). [ABSTRACT FROM AUTHOR]
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