Volatility Spillover And Investor Sentiment: Subprime Crisis

• Main Authors: Zouch, Mouna Abdelhédi, Abbes, Mouna Boujelbène, Boujelbène, Younès
• 格式: Article
• 語言: English
• 出版: Asian Academy of Management (AAM) 2015
• 主題: HD28-70 Management. Industrial Management
• 在線閱讀: http://eprints.usm.my/40035/1/aamjaf110215_04.pdf; http://eprints.usm.my/40035/; http://web.usm.my/journal/aamjaf/11-2-4-2015.html

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...