A new European investor sentiment index (EURsent) and its return and volatility predictability

This study presents a new European investor sentiment index, EURsent, based on new individual sentiment proxies such as VSTOXX, gold, and the German bond yield spread, and studies the spillover and contagion between the United States and Europe. Furthermore, it analyses the simultaneous influence of...

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Bibliographic Details
Main Author: Reis, Pedro Manuel Nogueira (author)
Other Authors: Pinho, Carlos (author)
Format: article
Language:eng
Published: 2020
Subjects:
Investor sentiment
Sentiment index
Contagion
Spillover
Market volatility
Market returns
Online Access:http://hdl.handle.net/10400.19/6337
Country:Portugal
Oai:oai:repositorio.ipv.pt:10400.19/6337

Internet

http://hdl.handle.net/10400.19/6337

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