Investor attention on the Russia-Ukraine conflict and stock market volatility: Evidence from China
Finance Research Letters(2023)
摘要
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 con-tains 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 per-forms best among the models, especially during long-term horizons.
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关键词
Investor attention,Russia -Ukraine conflict,Chinese stock market,Volatility forecasting
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