Browsing by Author "Sulong, Z."
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Item Russia-Ukraine war and G7 debt markets: Evidence from public sentiment towards economic sanctions during the conflict(International Journal of Finance & Economics, 2023) Sulong, Z.; Abakah, E.J.A.; Adeabah, D.; et al.War-related expectations cause changes to investors' risks and returns preferences. In this study, we examine the implications of war and sanctions sentiment for the G7 countries' debt markets during the Russia-Ukraine war. We use behavioural indicators across social media, news media, and internet attention to reflect the public sentiment from January 1, 2022, to April 20, 2023. We apply the quantile-on-quantile regression (QQR) and rolling window wavelet correlation (RWWC) methods. The quantile-on-quantile regression results show a heterogeneous impact on fixed-income securities. Specifically, extreme public sentiment has a negative impact on G7 fixed income securities return. The wavelets correlation result shows dynamic correlation pattern among public sentiment and fixed income securities. There is a negative relationship between public sentiment and G7 fixed-income securities. The correlation is time-varying and highly eventful dependent. Our additional analysis using corporate bond data indicates the robustness of our findings. Furthermore, the contagion analysis shows public sentiment significantly influences G7 fixed income securities spillover. Our findings can be of great significance while framing strategies for asset allocation and portfolio performance and risk hedging.