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Is equity market volatility driven by migration fear?

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  • Czudaj, Robert L.

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.

Suggested Citation

  • Czudaj, Robert L., 2018. "Is equity market volatility driven by migration fear?," Finance Research Letters, Elsevier, vol. 27(C), pages 34-37.
    • Handle: RePEc:eee:finlet:v:27:y:2018:i:c:p:34-37
    DOI: 10.1016/j.frl.2018.02.029
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    References listed on IDEAS

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    1. Beckmann, Joscha & Czudaj, Robert, 2017. "The impact of uncertainty on professional exchange rate forecasts," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 296-316.
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    4. Paresh Kumar Narayan & Seema Narayan & Siroos Khademalomoom & Dinh Hoang Bach Phan, 2018. "Do Terrorist Attacks Impact Exchange Rate Behavior? New International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 547-561, January.
    5. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    6. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    7. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    8. Arin, K. Peren & Ciferri, Davide & Spagnolo, Nicola, 2008. "The price of terror: The effects of terrorism on stock market returns and volatility," Economics Letters, Elsevier, vol. 101(3), pages 164-167, December.
    9. Chesney, Marc & Reshetar, Ganna & Karaman, Mustafa, 2011. "The impact of terrorism on financial markets: An empirical study," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 253-267, February.
    10. Karolyi, G. Andrew, 2006. "The Consequences of Terrorism for Financial Markets: What Do We Know?," Working Paper Series 2006-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    11. Shahbaz, Muhammad, 2013. "Linkages between inflation, economic growth and terrorism in Pakistan," Economic Modelling, Elsevier, vol. 32(C), pages 496-506.
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    Cited by:

    1. Michael Donadelli & Luca Gerotto & Marcella Lucchetta & Daniela Arzu, 2018. "Migration Fear, Uncertainty, and Macroeconomic Dynamics," Working Papers 2018:29, Department of Economics, University of Venice "Ca' Foscari".
    2. Das, Kuntal K. & Yaghoubi, Mona, 2024. "Migration fear and stock price crash risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    3. Hadhri, Sinda, 2024. "The role of migration fear in (dis)connecting stock markets," Finance Research Letters, Elsevier, vol. 61(C).

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    More about this item

    Keywords

    Equity markets; Fear; Migration; Terror attacks; Volatility;
    All these keywords.

    JEL classification:

    • F22 - International Economics - - International Factor Movements and International Business - - - International Migration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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