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Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks

Bales, Stephan and Burghartz, Kaspar and Burghof, Hans-Peter and Hitz, Lukas. (2023) Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks. Research in International Business and Finance, 65. p. 101927.

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Official URL: https://edoc.unibas.ch/95017/

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Abstract

This study examines if the source of uncertainty (newspaper, Twitter, financial market) matters in its impact on bank stock returns in the United States. By applying discrete wavelet transformation, we model directional spillovers and Granger causality between uncertainty and bank returns for different time horizons. Our results demonstrate that this distinction between time horizons is crucial. Although newspaper and Twitter-based measures are correlated, they capture a different source of investor perception. Twitter-based uncertainty adversely affects bank stocks in the short run, while newspaper-based policy uncertainty is relevant in the medium run. Financial-based uncertainty, VIX, is the most important factor. Moreover, we find that the impact of uncertainty on bank returns is stronger during the COVID-19 pandemic and for banks with a high ratio of loans to total assets and large off-balance-sheet activities.
Faculties and Departments:06 Faculty of Business and Economics
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften
UniBasel Contributors:Hitz, Lukas and Burghartz, Kaspar
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Elsevier
ISSN:0275-5319
e-ISSN:1878-3384
Note:Publication type according to Uni Basel Research Database: Journal article
Identification Number:
Last Modified:26 Jan 2024 16:30
Deposited On:26 Jan 2024 16:30

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