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

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.

Automated summary

This paper investigates the impact of investor attention to the Russia-Ukraine conflict on Chinese stock market volatility. The results show that this attention contains valuable information for predicting the volatility, outperforming popular predictors like leverage, jump, and geopolitical risk. The model incorporating ATT_AU information and LASSO method performs best, especially in long-term horizons.