We examine the impact of Twitter sentiment on returns four selected bond indices via selection relevant threshold variables, such as S&P 500 Index, VIX, and MSCI World Index. If overreaction or underreaction to significant changes in market occur regularly (De Bondt Thaler, 1985, 1987; Jegadeesh Titman, 1993), it is assumed that users respond with different intensities case rising, falling rath...