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Investor attention on the Russia-Ukraine conflict and stock market volatility: Evidence from China

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  • Zhou, Haonan
  • Lu, Xinjie

Abstract

The Russia-Ukraine conflict has brought ripple effects to the global economy. This paper mainly investigates whether investor attention to the Russia-Ukraine conflict can affect the Chinese stock market volatility. Empirical results show investor attention to the Russia-Ukraine conflict contains more valuable information to predict Chinese stock market volatility than some popular predictors such as leverage, jump, geopolitical risk. Importantly, we find the model containing ATT_AU information and least absolute shrinkage and selection operator (LASSO) method performs best among the models, especially during long-term horizons.

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  • Zhou, Haonan & Lu, Xinjie, 2023. "Investor attention on the Russia-Ukraine conflict and stock market volatility: Evidence from China," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007024
    DOI: 10.1016/j.frl.2022.103526
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