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.