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

Martina Halouskov\'a, Daniel Sta\v{s}ek and Mat\'u\v{s} Horv\'ath
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Martina Halouskov\'a: Department of Finance, The Faculty of Economics and Administration, Masaryk University
Daniel Sta\v{s}ek: Department of Finance, The Faculty of Economics and Administration, Masaryk University
Mat\'u\v{s} Horv\'ath: Department of Finance, The Faculty of Economics and Administration, Masaryk University

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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.

Date: 2022-05, Revised 2022-08
New Economics Papers: this item is included in nep-cis and nep-tra
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