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

TL;DR

This paper investigates how investor attention, measured via Google Trends, influenced global asset price volatility during the Ukraine invasion, highlighting the importance of geographical proximity and economic openness.

Contribution

It introduces event-specific attention indices to predict asset volatility and analyzes their varying impact across countries based on proximity and economic ties.

Findings

36 countries showed significant attention to the conflict.

Attention indices helped predict volatility during the invasion.

Proximity and economic openness increased attention's impact.

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.