Heterogeneity of the Financial Market and Innovative Methods for Assessing Consumer Behavior in Financial Markets during Wartime
Balabukha K. Y.

Balabukha, Kateryna Ye. (2025) “Heterogeneity of the Financial Market and Innovative Methods for Assessing Consumer Behavior in Financial Markets during Wartime.” The Problems of Economy 3:255–264.
https://doi.org/10.32983/2222-0712-2025-3-255-264

Section: Finance and banking

UDC 336.7

Abstract:
The article assesses short-term market reactions to the escalation of the Russia-Ukraine conflict using proxy behavioral indicators from social network X. Two metrics act as shocks: the sentiment indicator and the share of negative posts. A corpus of public messages from February 16–27, 2022, was aggregated into 5-minute intervals and synchronized with exchange trading periods. Financial indicator responses are measured using impulse response functions (IRF), estimated through local projections over horizons n=1…12 (up to one hour) with Newey-West standard errors. Identification is based on the assumption of short-term shocks, which is appropriate for real-time monitoring. The sample includes stock indices of key regions, natural oil, natural gas, the XAU index of gold mining companies, the U.S. T-Bills market indicator (S&P U.S. Treasury Bill, CB3), Bitcoin, and major currencies (DXY, EUR, GBP, CNY). To interpret heterogeneity, three characteristics of impulse response functions (IRF) are used: speed (time to the first significant point), duration (number of 5-minute intervals during which the 95% confidence interval does not cross the zero line), and intensity (maximum absolute value over the hourly horizon). The results show pronounced heterogeneity. European stocks decline, while U.S. and Chinese markets are generally neutral; this asymmetry is consistent with Europe’s greater energy/logistics vulnerability and the temporal overlap of news peaks with European trading sessions. Natural oil futures react negatively with a lag of about an hour, whereas no significant response is detected for natural gas. XAU shows a positive reaction, and the Treasury bill market appears unchanged. Mixed effects are observed in the currency market: the euro and the pound react negatively, while the US dollar reacts positively. Divergences between shock metrics have been recorded; the share of negative messages sometimes captures a response that the negative sentiment indicator does not. This highlights the limitations of relying on a single sentiment metric and supports using a combined approach. Limitations include an English-language corpus, not accounting for «engagement weight», and unfiltered noise from individual accounts. Overall, the behavioral social media signal currently enables quantitative detection of heterogeneous short-term market reactions under wartime conditions.

Keywords: consumer behavior, financial market, sentiment, stock market, impulse response, investment.

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Balabukha Kateryna Ye. – Candidate of Sciences (Public Administration), Associate Professor, Associate Professor, Department of Finance, Banking, Insurance and Marketing, Classic Private University (70B Universytetska Str., Zaporіzhzhia, 69002, Ukraine)
Email: balabuhakaterina@ukr.net

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