Effect of investor fear on Australian financial markets
We examine the relationship between changes in the level of investor fear (proxied by the ASX 200 implied volatility index) and Australian financial market returns. We document a statistically significant relationship, across asset classes, where returns decline as investor fear increases. Returns a...
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| Format: | Journal Article |
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Routledge
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/51595 |