The role of migration fear in (dis)connecting stock markets

Sinda Hadhri

Finance Research Letters, 2024, vol. 61, issue C

Abstract: This study investigates the potential impact of investor sentiment rooted in migration fear on the connectedness between stock markets. To explore this relationship, we leverage a unique dataset comprising migration fear indexes derived from newspaper coverage, focusing on the United States, UK, France, and Germany. Our findings underscore a noteworthy negative impact of migration fear on stock market volatility spillovers. This effect is more pronounced during unfavorable economic conditions.

Keywords: Spillover; Connectedness; Stock markets; Fear; Migration; Volatility (search for similar items in EconPapers)
JEL-codes: F22 F65 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000904

DOI: 10.1016/j.frl.2024.105060

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