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Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods

Vitor Moutinho Orcid Logo, Renato Heitor Correia Domingues Orcid Logo, Giulia Fantini Orcid Logo, Michelle Moraes

Applied Economics Letters, Pages: 1 - 8

Swansea University Author: Giulia Fantini Orcid Logo

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DOI (Published version): 10.1080/13504851.2025.2600676

Abstract

This article investigates the dynamic causal relationships between investor sentiment, measured through Twitter mentions of uncertainty, CBOE volatility index, the spreads of key assets, S&P 500, oil, gold, and Bitcoin, during the COVID crisis and the Ukraine War. The results reveal significant...

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Published in: Applied Economics Letters
ISSN: 1350-4851 1466-4291
Published: Informa UK Limited 2025
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa71169
Abstract: This article investigates the dynamic causal relationships between investor sentiment, measured through Twitter mentions of uncertainty, CBOE volatility index, the spreads of key assets, S&P 500, oil, gold, and Bitcoin, during the COVID crisis and the Ukraine War. The results reveal significant bidirectional causality between investor sentiment and S&P 500 spreads during the COVID era, contrasting with minimal causality during the Ukraine War Other of the hand, the relationship between the VIX and the S&P 500 is unidirectional, during COVID period, while, no causality is observed for the period of the Ukraine War. Moreover, a bidirectional causality appears between the VIX and Bitcoin at distinct times, While, for the period of the war in Ukraine, there is a small one-way causality from bitcoin to the VIX in May 2022 and in June. Gold spreads demonstrated a reciprocal influence with sentiment, while no significant relationships were found for oil and Bitcoin spreads. These findings underscore the variability of market-sentiment interactions across different crises, providing insights for investors and policymakers.
Item Description: Research Letter
Keywords: Investor sentiment, time-varying causality, S&P500, COVID crisis, Ukraine War
College: Faculty of Humanities and Social Sciences
Funders: This work was supported by the European Commission; NECE - Research Center in Business Sciences, University of Beira Interior [Lider + Digital- LIED].
Start Page: 1
End Page: 8

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