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Sentiment-prone investors and volatility dynamics between spot and futures markets
(Elsevier, 2015)
Artículo / Artikulua,
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 ...
Momentum and default risk. Some results using the jump component
(Elsevier, 2015)
Artículo / Artikulua,
In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...
The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
(Taylor & Francis, 2015)
Artículo / Artikulua,
This paper studies the effect of investor sentiment on stock returns in three Central European markets: the Czech Republic, Hungary and Poland. The results show that sentiment is a key variable in the prices of stocks ...