情绪投资者、汇率、地缘政治风险和发展中的股票市场:俄乌战争期间时频域联合运动的证据

IF 1.9 Q2 BUSINESS, FINANCE Review of Behavioral Finance Pub Date : 2023-11-16 DOI:10.1108/rbf-04-2023-0119
Fatma Hachicha
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引用次数: 0

摘要

本文的目的有三个:(1)运用主成分分析(PCA)建立了衡量发展中国家投资者情绪理性(ISR)的新测度;(2)考察了俄罗斯2022年入侵乌克兰期间十个发展中国家股票市场、投资者情绪、汇率和地缘政治风险(GPR)之间的协同运动;(3)探讨了俄乌战争前和主要在俄乌战争期间可能影响外汇市场和资本市场的关键因素。设计/方法/方法应用小波方法和多元小波相干性(MWC)检测2019年8月至2022年12月每日数据的共同运动。利用风险价值(VaR)和条件风险价值(CVaR)来评估发展中市场中汇率市场和股票市场收益的系统性风险。本研究结果显示:(1)根据(WTC)分析,在大多数国家,GPR、投资者情绪理性(ISR)、股票市场指数和汇率在短期和长期都存在较强的相互依存关系。(2)有证据表明,以ISR为主导,ISR与汇率之间存在强烈的短期协同波动。(3)多元一致性表明,ISR和GPR指数对股市指数和汇率收益的贡献较大。调查结果表明,越南盾、马来西亚林吉特和突尼斯第纳尔作为货币组合对冲GPR风险的吸引力。作者发现,在大多数国家所分析的所有变量对之间的短期正相关。(4)在俄罗斯入侵乌克兰期间,外汇和股票市场都暴露在更高水平的系统性风险之下。原创性/价值本研究为发展中国家的投资者、监管机构和执行经理提供了信息支持。情绪投资者与探地雷达的影响加剧了股票市场和交易所市场在2021-2022年期间的协同运动,这与俄罗斯入侵乌克兰的时期重叠。
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Sentiment investor, exchange rates, geopolitical risk and developing stock market: evidence of co-movements in the time-frequency domain during RussiaUkraine war
Purpose The aim of this paper is threefold: (1) to develop a new measure of investor sentiment rational (ISR) of developing countries by applying principal component analysis (PCA), (2) to investigate co-movements between the ten developing stock markets, the sentiment investor's, exchange rates and geopolitical risk (GPR) during Russian invasion of Ukraine in 2022, (3) to explore the key factors that might affect exchange market and capital market before and mainly during Russia–Ukraine war period. Design/methodology/approach The wavelet approach and the multivariate wavelet coherence (MWC) are applied to detect the co-movements on daily data from August 2019 to December 2022. Value-at-risk (VaR) and conditional value-at-risk (CVaR) are used to assess the systemic risks of exchange rate market and stock market return in the developing market. Findings Results of this study reveal (1) strong interdependence between GPR, investor sentiment rational (ISR), stock market index and exchange rate in short- and long-terms in most countries, as inferred from (WTC) analysis. (2) There is evidence of strong short-term co-movements between ISR and exchange rates, with ISR leading. (3) Multivariate coherency shows strong contributions of ISR and GPR index to stock market index and exchange rate returns. The findings signal the attractiveness of the Vietnamese dong, Malaysian ringgits and Tunisian dinar as a hedge for currency portfolios against GPR. The authors detect a positive connectedness in the short term between all pairs of the variables analyzed in most countries. (4) Both foreign exchange and equity markets are exposed to higher levels of systemic risk in the period of the Russian invasion of Ukraine. Originality/value This study provides information that supports investors, regulators and executive managers in developing countries. The impact of sentiment investor with GPR intensified the co-movements of stocks market and exchange market during 2021–2022, which overlaps with period of the Russian invasion of Ukraine.
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来源期刊
Review of Behavioral Finance
Review of Behavioral Finance BUSINESS, FINANCE-
CiteScore
4.70
自引率
5.00%
发文量
44
期刊介绍: Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.
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