Is equity market volatility driven by migration fear?

Robert Czudaj

Finance Research Letters, 2018, vol. 27, issue C, 34-37

Abstract: This paper examines whether a part of the volatility of equity markets can be trace back to migration fear sentiments of investors. In doing so, we use a novel data set of migration fear indexes based on newspaper coverage for the US, Germany, France and the UK. Our results show that – especially for Germany – stock market volatility has been significantly affected by migration fear. This effect is in particular observed for the period around 2015 – the top of the European migrant crisis.

Keywords: Equity markets; Fear; Migration; Terror attacks; Volatility (search for similar items in EconPapers)
JEL-codes: F22 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:34-37

DOI: 10.1016/j.frl.2018.02.029

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