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

被引：0
作者：
Hadhri, Sinda [1 ]
机构：
[1] UCLy, ESDES, Sci & Humanities Confluence Res Ctr, Inst Sustainable Business & Org, Lyon, France
来源：
FINANCE RESEARCH LETTERS | 2024年 / 61卷
关键词：
Spillover; Connectedness; Stock markets; Fear; Migration; Volatility; VOLATILITY; TERRORISM; INTEGRATION; SPILLOVERS; RETURNS; ATTACKS; RISK;
D O I：
10.1016/j.frl.2024.105060
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：8
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