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

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.