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Russia-Ukraine war and G7 debt markets: Evidence from public sentiment towards economic sanctions during the conflict

Zunaidah Sulong (), Mohammad Abdullah (), Emmanuel Abakah (), David Adeabah and Simplice Asongu
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Zunaidah Sulong: Universiti Sultan Zainal Abidin, Malaysia
Mohammad Abdullah: Universiti Sultan Zainal Abidin, Malaysia
Emmanuel Abakah: University of Ghana Business School, Accra Ghana

No 23/057, Working Papers from European Xtramile Centre of African Studies (EXCAS)

Abstract: War-related expectations cause changes to investors’ risks and returns preferences. In this study, we examine the implications of war and sanctions sentiment for the G7 countries’ debt markets during the Russia-Ukraine war. We use behavioral indicators across social media, news media, and internet attention to reflect the public sentiment from 1st January 2022 to 20th April 2023. We apply the quantile-on-quantile regression (QQR) and rolling window wavelet correlation (RWWC) methods. The quantile-on-quantile regression results show heterogenous impact on fixed income securities. Specifically, extreme public sentiment has a negative impact on G7 fixed income securities return. The wavelets correlation result shows dynamic correlation pattern among public sentiment and fixed income securities. There is a negative relationship between public sentiment and G7 fixed income securities. The correlation is time-varying and highly event dependent. Our additional analysis using corporate bond data indicates the robustness of our findings. Furthermore, the contagion analysis shows public sentiment significantly influence G7 fixed income securities spillover. Our findings can be of great significance while framing strategies for asset allocation, portfolio performance and risk hedging.

Keywords: Russia-Ukraine war; economic sanctions; G7 debt; fixed income securities; quantile approaches (search for similar items in EconPapers)
Pages: 37
Date: 2023-01
New Economics Papers: this item is included in nep-big, nep-cis, nep-rmg, nep-sea and nep-tra
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Forthcoming: International Journal of Finance and Economics

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http://publications.excas.org/RePEc/exs/exs-wpaper ... ing-the-conflict.pdf Revised version, 2023 (application/pdf)

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