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dc.creatorCorredor Casado, María Pilares_ES
dc.creatorFerrer Zubiate, Elenaes_ES
dc.creatorSantamaría Aquilué, Rafaeles_ES
dc.description.abstractThis 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.sponsorshipThis 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.relation.ispartofInternational Review of Economics and Finance 35 (2015) 180–196en
dc.rights© 2014 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.en
dc.subjectInvestor sentimenten
dc.subjectNoise tradersen
dc.subjectSpot-futures correlationen
dc.subjectVolatility spilloversen
dc.titleSentiment-prone investors and volatility dynamics between spot and futures marketsen
dc.typeArtículo / Artikuluaes
dc.contributor.departmentUniversidad Pública de Navarra. Departamento de Gestión de Empresases_ES
dc.contributor.departmentNafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Sailaeu
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.type.versionVersión aceptada / Onetsi den bertsioaes

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© 2014 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.
Except where otherwise noted, this item's license is described as © 2014 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.