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

Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael

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

dc.contributor.author	Corredor Casado, María Pilar
dc.contributor.author	Ferrer Zubiate, Elena
dc.contributor.author	Santamaría Aquilué, Rafael
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.department	Enpresen Kudeaketa	eu
dc.date.accessioned	2015-10-27T12:39:03Z
dc.date.available	2018-02-01T00:00:13Z
dc.date.issued	2015
dc.description.abstract	This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a representative set of European indexes (CAC40, DAX30, FTSE100, IBEX35 and Eurostoxx50). Consistent with expectations, we have shown that the correlation is not stable with the level of investor sentiment. More specifically, the correlation between the two markets diminishes significantly during periods of high investor sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results are compatible with behavioural finance theories suggesting that high investor sentiment leads to an increase in noise trading and a decline in arbitrage activity due to institutional investors’ attempts to limit their risk exposure.	en
dc.description.sponsorship	This paper has received financial support from the Spanish Ministry of Science and Innovation (ECO2009-12819) and from the Spanish Ministry of Economy and Competitiveness (ECO2012-35946-C02-01).	en
dc.embargo.lift	2018-02-01
dc.embargo.terms	2018-02-01
dc.format.mimetype	application/pdf	en
dc.identifier.doi	10.1016/j.iref.2014.09.013
dc.identifier.issn	1059-0560
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/18658
dc.language.iso	eng	en
dc.publisher	Elsevier	en
dc.relation.ispartof	International Review of Economics and Finance 35 (2015) 180–196	en
dc.relation.projectID	info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01/ES/	en
dc.relation.projectID	info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/	en
dc.relation.publisherversion	https://doi.org/10.1016/j.iref.2014.09.013
dc.rights	© 2014 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.	en
dc.rights.accessRights	Acceso abierto / Sarbide irekia	es
dc.rights.accessRights	info:eu-repo/semantics/openAccess	en
dc.rights.uri	https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject	Investor sentiment	en
dc.subject	Noise traders	en
dc.subject	Spot-futures correlation	en
dc.subject	Volatility spillovers	en
dc.title	Sentiment-prone investors and volatility dynamics between spot and futures markets	en
dc.type	info:eu-repo/semantics/article
dc.type.version	Versión aceptada / Onetsi den bertsioa	es
dc.type.version	info:eu-repo/semantics/acceptedVersion	en
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