乌克兰入侵期间投资者关注在全球资产价格变化中的作用
The role of investor attention in global asset price variation during the invasion of Ukraine
摘要：
我们研究了基于Google趋势的特定事件关注指数在2022年2月俄罗斯入侵乌克兰之前和期间的预测价格变化模型中的影响。我们将分析扩展到51个全球股票市场中地理邻近和经济开放对俄罗斯的重要性。我们的研究结果表明，36个国家在入侵开始时和入侵期间对冲突表现出极大的关注，这有助于预测波动性。我们发现，在对俄罗斯经济开放程度较高的国家和离俄罗斯较近的国家，注意力的影响更为显著。
英文摘要：
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.
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