Retail investor attention and stock market behavior in Russia-Ukraine conflict based on Chinese practices: Evidence from transfer entropy causal network

Abstract

From the non-linear information transmission angle, we look into the interactions between retail investor attention and the stock market before and during the Russia-Ukraine conflict. We construct transfer entropy causal networks between retail investor attention and stock market behavior on three counts: return, trading volume and volatility. We discover that bi-directional causal relations exist between investor attention and the stock market. We also find that after the conflict outbreak, retail investor attention becomes more influential on return, trading volume and volatility. The stock market return and volatility have more impact on investor attention. Information transfer efficiency increases after the outbreak.