War discourse predicts stock market volatility: A century of evidence

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-12 DOI:10.1016/j.frl.2025.107567

Zhiping Zhou , Kai Wang

引用次数: 0

Abstract

This study investigates the impact of war-related risk on stock market volatility using a war discourse index. Drawing on a century of data, we show that the index significantly predicts U.S. stock market volatility up to 12 months ahead. This predictive power remains robust after accounting for macroeconomic conditions, market variables, and geopolitical risk. Furthermore, forecasts yield economically meaningful utility gains over benchmarks. Our findings offer investors practical tools for forecasting volatility and managing portfolios while equipping policymakers with evidence-based strategies for stabilizing markets. The results reinforce the importance of monitoring war-related risks in financial decision-making amid rising global tensions.

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战争话语预测股市波动：一个世纪的证据

本研究运用战争话语指数，探讨战争相关风险对股市波动的影响。根据一个世纪的数据，我们表明该指数可以显著预测未来12个月的美国股市波动。在考虑了宏观经济条件、市场变量和地缘政治风险之后，这种预测能力依然强劲。此外，与基准相比，预测产生了具有经济意义的效用收益。我们的研究结果为投资者提供了预测波动性和管理投资组合的实用工具，同时为政策制定者提供了稳定市场的循证策略。研究结果强调了在全球紧张局势加剧的情况下，在金融决策中监测战争相关风险的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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