Template-Type: ReDIF-Article 1.0 
Author-Name: Seyed Alireza Athari
Author-Name:  Ali Awais Khalid
Author-Name:  Qasim Raza Syed
Author-Email:  ali_athari@yahoo.com
Author-Workplace-Name:  Department of Business Administration, Cyprus International University, Turkey
Title: Twitter-Based Economic Uncertainty and US Energy Market - An Investigation Using Wavelet Coherence
Abstract:  This study investigates the co-movement between the Twitter-based economic uncertainty index (TEU) and US energy stocks using the wavelet coherence method. The results reveal a homogenous negative co-movement of the TEU with the energy stocks, implying that a rise in TEU leads to declining energy stock prices. Nevertheless, a heterogeneous co-movement of the TEU with other sectors has been detected in the US market. Besides, the results reveal a positive and significant co-movement of the TEU with the Standard & Poor (S&P) 500 index over the medium and long-term horizons though the co-movement became more pronounced during COVID-19.
Classification-JEL:  D53 ,D81 ,G11 ,G12 ,G15
Keywords:  US energy stocks, Twitter-based economic uncertainty, Wavelet
Journal:  Energy RESEARCH LETTERS
Pages: 1-7
Volume: 5
Issue: 1
Year:  2024
DOI:  2024/07/10
File-URL:  https://erl.scholasticahq.com/api/v1/articles/90917-twitter-based-economic-uncertainty-and-us-energy-market-an-investigation-using-wavelet-coherence.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnerl:100