![](images/graphics/blank.gif)
Predicting short-term market returns and volatility using index of consumer sentiment
17
lượt xem 1
download
lượt xem 1
download
![](https://tailieu.vn/static/b2013az/templates/version1/default/images/down16x21.png)
The paper finds no volatility clustering and volatility persistence except in case of small cap index. This paper finds presence of noise trade and investors over-reaction in small cap stocks. EGARCH result supports for the presence of leverage effect, and confirms negative impact of consumer sentiment on small cap stocks.
Chủ đề:
Bình luận(0) Đăng nhập để gửi bình luận!
![](images/graphics/blank.gif)
CÓ THỂ BẠN MUỐN DOWNLOAD