Investor attention on the Russia-Ukraine conflict and stock market volatility: Evidence from China

Haonan Zhou and Xinjie Lu

Finance Research Letters, 2023, vol. 52, issue C

Abstract: The Russia-Ukraine conflict has brought ripple effects to the global economy. This paper mainly investigates whether investor attention to the Russia-Ukraine conflict can affect the Chinese stock market volatility. Empirical results show investor attention to the Russia-Ukraine conflict contains more valuable information to predict Chinese stock market volatility than some popular predictors such as leverage, jump, geopolitical risk. Importantly, we find the model containing ATT_AU information and least absolute shrinkage and selection operator (LASSO) method performs best among the models, especially during long-term horizons.

Keywords: Investor attention; Russia-Ukraine conflict; Chinese stock market; Volatility forecasting (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007024

DOI: 10.1016/j.frl.2022.103526

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