Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention
Štefan Lyócsa,Tomáš Plíhal +1 more
Reads0
Chats0
TLDR
In this paper , the authors used Google search and implied volatility to predict intraday price fluctuations of the USD/RUB and the EUR/rUB exchange rates from the 1st of December 2021 to the 7th of March 2022.About:
This article is published in Finance Research Letters.The article was published on 2022-05-01 and is currently open access. It has received 24 citations till now. The article focuses on the topics: Volatility (finance) & Depreciation (economics).read more
Citations
More filters
Journal ArticleDOI
Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach
TL;DR: In this paper , the impact of the Russian-Ukraine war on the metals, conventional energy, and renewable energy markets, by using an event research technique, was explored. But, none of the conventional energy or metals markets tend to exhibit large abnormal returns on the event day.
Journal ArticleDOI
What makes firms vulnerable to the Russia–Ukraine crisis?
TL;DR: This paper examined the impact of the Russia-Ukraine war on the constituent firms of the leading stock market indices of the G7 countries to provide insights into the vulnerability of firms to war events.
Journal ArticleDOI
The Russia-Ukraine Conflict and Volatility Risk of Commodity Markets
Yi Fang,Zhiquan Shao +1 more
TL;DR: In this article , a new index was constructed to measure the intensity of the Russia-Ukraine conflict and use it to examine to what extent and through which channels does this conflict affect the volatility risk of commodity markets.
Journal ArticleDOI
Does the Russia-Ukraine War Lead to Currency Asymmetries? A US Dollar Tale
Journal ArticleDOI
Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale
TL;DR: In this article , the authors examined the impact of the Russia-Ukraine war on the value of global currencies against the US dollar using event study methodology and market model estimates, and found that the Russian rouble, Czech koruna, and Polish zloty depreciated against the USD, Pacific currencies appreciated significantly, and the currencies of the Middle East and Africa are insignificant.
References
More filters
Journal ArticleDOI
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
Journal ArticleDOI
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
TL;DR: In this paper, a simple alternative test where the standard unit root regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series is also considered.
Journal ArticleDOI
A simple panel unit root test in the presence of cross-section dependence
TL;DR: In this paper, a simple alternative where the standard ADF regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series is proposed, and it is shown that the individual CADF statistics are asymptotically similar and do not depend on the factor loadings.
Journal ArticleDOI
All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Brad M. Barber,Terrance Odean +1 more
TL;DR: In this paper, the authors test and confirm the hypothesis that individual investors are net buyers of attentiongrabbing stocks, e.g., stocks in the news, stocks experiencing high abnormal trading volume, and stocks with extreme one day returns.
Journal ArticleDOI
All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Brad M. Barber,Terrance Odean +1 more
TL;DR: In this paper, the authors test and confirm the hypothesis that individual investors are net buyers of attentiongrabbing stocks, e.g., stocks in the news, stocks experiencing high abnormal trading volume, and stocks with extreme one-day returns.