On the Usefulness of Uncertainty Sentiment in Twitter for Financial Markets

We examine the volatility dynamics and predictive potency of Twitter-based uncertainty metrics by [1] against major financial assets. Employing a latent factor structure model driven by stochastic volatility in high dimensions, we document a lack of co-movement between uncertainty sentiment on Twitter and market volatility. We also record diminutive predictive power of the same indices, especially in comparison with the more established fear index VIX

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Year of publication:	[2021]
Authors:	Sifat, Imtiaz ; Ah Mand, Abdollah
Publisher:	[S.l.] : SSRN
Subject:	Finanzmarkt \| Financial market \| Risiko \| Risk \| Social Web \| Social web
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]