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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F22%3A00129208" target="_blank" >RIV/00216224:14560/22:00129208 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.frl.2022.103292" target="_blank" >https://doi.org/10.1016/j.frl.2022.103292</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2022.103292" target="_blank" >10.1016/j.frl.2022.103292</a>

Result language
angličtina
Original language name
The role of investor attention in global asset price variation during the invasion of Ukraine
Original language description
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.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA22-27075S" target="_blank" >GA22-27075S: Forecasting Market Risk: The Role of Trading Activity, Attention and Sentiment</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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