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

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  • Martina Halouskov'a

    (Department of Finance, The Faculty of Economics and Administration, Masaryk University)

  • Daniel Stav{s}ek

    (Department of Finance, The Faculty of Economics and Administration, Masaryk University)

  • Mat'uv{s} Horv'ath

    (Department of Finance, The Faculty of Economics and Administration, Masaryk University)

Abstract

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.

Suggested Citation

  • Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
    • Handle: RePEc:arx:papers:2205.05985
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    8. Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Tiwari, Aviral Kumar & Wali Ullah, G M, 2024. "Asymmetric dynamics between geopolitical conflict sentiment and cryptomarkets," Research in International Business and Finance, Elsevier, vol. 69(C).
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