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The role of migration fear in (dis)connecting stock markets

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  • Hadhri, Sinda

Abstract

This study investigates the potential impact of investor sentiment rooted in migration fear on the connectedness between stock markets. To explore this relationship, we leverage a unique dataset comprising migration fear indexes derived from newspaper coverage, focusing on the United States, UK, France, and Germany. Our findings underscore a noteworthy negative impact of migration fear on stock market volatility spillovers. This effect is more pronounced during unfavorable economic conditions.

Suggested Citation

  • Hadhri, Sinda, 2024. "The role of migration fear in (dis)connecting stock markets," Finance Research Letters, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000904
    DOI: 10.1016/j.frl.2024.105060
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    More about this item

    Keywords

    Spillover; Connectedness; Stock markets; Fear; Migration; Volatility;
    All these keywords.

    JEL classification:

    • F22 - International Economics - - International Factor Movements and International Business - - - International Migration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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