Volatility Spillover And Investor Sentiment: Subprime Crisis

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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 in...

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Bibliographic Details
Main Authors:	Zouch, Mouna Abdelhédi, Abbes, Mouna Boujelbène, Boujelbène, Younès
Format:	Article
Language:	English
Published:	Asian Academy of Management (AAM) 2015
Subjects:	HD28-70 Management. Industrial Management
Online Access:	http://eprints.usm.my/37901/ http://eprints.usm.my/37901/1/aamjaf110215_04.pdf

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