Investor attention on the Russia-Ukraine conflict and stock market volatility: Evidence from China

The Russia-Ukraine conflict has brought ripple effects to the global economy. This paper mainly investigates whether investor attention to the Russia-Ukraine conflict can affect the Chinese stock market volatility. Empirical results show investor attention to the Russia-Ukraine conflict contains more valuable information to predict Chinese stock market volatility than some popular predictors such as leverage, jump, geopolitical risk. Importantly, we find the model containing ATT_AU information and least absolute shrinkage and selection operator (LASSO) method performs best among the models, especially during long-term horizons.