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

Sinda Hadhri ()
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Sinda Hadhri: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

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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)
Date: 2024-03
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Published in Finance Research Letters, 2024, 61, pp.105060. ⟨10.1016/j.frl.2024.105060⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05240431

DOI: 10.1016/j.frl.2024.105060

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