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Sentiment-prone investors and volatility dynamics between spot and futures markets

  • Published:2015-01 Issue: Volume:35 Page:180-196
  • ISSN:1059-0560
  • Container-title:International Review of Economics & Finance
  • language:en
  • Short-container-title:International Review of Economics & Finance

Author:

Corredor Pilar,Ferrer Elena,Santamaria Rafael

Funder

Spanish Ministry of Science and Innovation

Spanish Ministry of Economy and Competitiveness

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

1. The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news;Antoniou;Journal of Futures Markets,1998

2. Transaction costs, arbitrage, and volatility spillover: a note;Aragó;International Review of Economics and Finance,2003

3. Sudden changes in variance and time varying hedge ratios;Aragó;European Journal of Operational Research,2011

4. Market liquidity as a sentiment indicator;Baker;Journal of Financial Markets,2004

5. Investor sentiment and the cross-section of stock returns;Baker;Journal of Finance,2006

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