RT Journal Article
T1 Green bond market and sentiment: is there a switching behaviour?
A1 Piñeiro Chousa, Juan Ramón
A1 López Cabarcos, María Ángeles
A1 Sevic, Aleksandar
K1 Green bonds
K1 Panel smooth transition regression
K1 MSCI World Index
K1 Sentiment
AB 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)
PB Elsevier
YR 2022
FD 2022
LK http://hdl.handle.net/10347/27725
UL http://hdl.handle.net/10347/27725
LA eng
NO Journal of Business Research 141 (2022) 520-527. https://doi.org/10.1016/j.jbusres.2021.11.048
DS Minerva
RD 24 abr 2026