Volatility Spillover And Investor Sentiment: Subprime Crisis
In this paper, we test the role of the American investor sentiment in the amplification of the subprime financial crisis by examining the volatility spillover between the Standard & Poor's 500 Index (S&P 500) returns and investor sentiment measures. We show a significant effect of inves...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Asian Academy of Management (AAM),
2015.
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Subjects: | |
Online Access: | Get fulltext |
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