Russia-Ukraine war and G7 debt markets: Evidence from public sentiment towards economic sanctions during the conflict
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Date
2023
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Publisher
International Journal of Finance & Economics
Abstract
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.
Description
Research Article
Keywords
economic sanctions, fixed income securities, quantile approaches