Effect of investor fear on Australian financial markets

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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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Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	Routledge 2017
Online Access:	http://hdl.handle.net/20.500.11937/51595

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