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dc.contributor.authorPiñeiro Chousa, Juan Ramón
dc.contributor.authorLópez Cabarcos, María Ángeles
dc.contributor.authorSevic, Aleksandar
dc.date.accessioned2022-03-24T07:59:30Z
dc.date.available2022-03-24T07:59:30Z
dc.date.issued2022
dc.identifier.citationJournal of Business Research 141 (2022) 520-527. https://doi.org/10.1016/j.jbusres.2021.11.048
dc.identifier.urihttp://hdl.handle.net/10347/27725
dc.description.abstractWe 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)
dc.language.isoeng
dc.publisherElsevier
dc.rights© 2021 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectGreen bonds
dc.subjectPanel smooth transition regression
dc.subjectMSCI World Index
dc.subjectSentiment
dc.titleGreen bond market and sentiment: is there a switching behaviour?
dc.typeinfo:eu-repo/semantics/article
dc.identifier.DOI10.1016/j.jbusres.2021.11.048
dc.relation.publisherversionhttps://doi.org/10.1016/j.jbusres.2021.11.048
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.identifier.e-issn0148-2963
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.contributor.affiliationUniversidade de Santiago de Compostela. Departamento de Economía Financeira e Contabilidade
dc.contributor.affiliationUniversidade de Santiago de Compostela. Departamento de Organización de Empresas e Comercialización
dc.description.peerreviewedSI


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© 2021 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Except where otherwise noted, this item's license is described as  © 2021 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)





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