Twitter Based Uncertainty and Stock Returns Connectedness In Case of Selected APEC Countries

The aim of the paper is to unravel evidence of non-linear causality and connectedness between Twitter-based uncertainty and stock market returns for selected APEC countries. By using a non-linear Granger causality test, the study finds that Twitterbased uncertainty causes stock returns of Japan and Singapore. Further, the results also confirm the presence of volatility spillover between Twitter uncertainty and stock returns. Thus, volatility spillover from Twitter-based uncertainty and financial market returns provides insights to investors on adjusting their investments between the countries.