The role of investor attention in global asset price variation during the invasion of Ukraine

Martina Halousková, Daniel Stašek and Matúš Horváth

Finance Research Letters, 2022, vol. 50, issue C

Abstract: We study the impact of event-specific attention indices – based on Google Trends – in predictive price variation models before and during the Russian invasion of Ukraine in February 2022. We extend our analyses to the importance of geographical proximity and economic openness to Russia within 51 global equity markets. Our results demonstrate that 36 countries show significant attention to the conflict at the onset of and during the invasion, which helps predict volatility. We find that the impact of attention is more significant in countries with a higher degree of economic openness to Russia and those nearer to it.

Keywords: Ukraine; Russia; Invasion; Google Trends; Volatility (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004755

DOI: 10.1016/j.frl.2022.103292

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