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

·We examine the effect of migration fear on the connectedness among four stock markets.·The effect is significantly negative on stock market volatility spillovers.·The effect is more pronounced during periods of unfavorable economic conditions. This study investigates the potential impact of investo...

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Bibliographic Details
Published in:Finance research letters 2024-03, Vol.61, p.105060, Article 105060
Main Author: Hadhri, Sinda
Format: Article
Language:English
Subjects:
Connectedness
Fear
Migration
Spillover
Stock markets
Volatility
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Summary:·We examine the effect of migration fear on the connectedness among four stock markets.·The effect is significantly negative on stock market volatility spillovers.·The effect is more pronounced during periods of unfavorable economic conditions. 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.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2024.105060