Twitter policy uncertainty and stock returns in South Africa: Evidence from time‐varying Granger causality

Abstract

Abstract The study uses time‐varying Granger causality models that incorporate two proxies for Twitter policy uncertainty and South African returns stock returns to investigate the causal relationship between Twitter uncertainty and South African stock returns for the period between 2017 and 2023. The findings demonstrate that Twitter Market Uncertainty and Twitter Economic Uncertainty mostly lead JSE returns around the start of the COVID‐19 pandemic and the Russia‐Ukranainan war respectively. The findings also show significant out‐of‐sample forecasts using uncertainty indexes from Twitter.