Risk-on/Risk-off: Financial market response to investor fear
This paper examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there is a de...
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| Format: | Journal Article |
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Academic Press
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/22517 |