Zouch, Mouna Abdelhédi and Abbes, Mouna Boujelbène and Boujelbène, Younès
(2015)
Volatility Spillover And Investor Sentiment: Subprime Crisis.
Asian Academy of Management Journal of Accounting and Finance, 11 (2).
pp. 1-19.
ISSN 1823-4992
Abstract
In this paper, we test the role of the American investor sentiment in the amplification of
the subprime financial crisis by examining the volatility spillover between the Standard &
Poor's 500 Index (S&P 500) returns and investor sentiment measures. We show a
significant effect of investor sentiment variation on return and volatilities, and we reveal
the contribution of returns shocks to the variability of investor sentiment variation during
the subprime crisis. Moreover, we notice the determinant role of investor sentiment in the
amplification of the subprime financial crisis by the intense spillover of volatility from
investor sentiment to returns. Our finding indicates that investors can use investor
sentiment as an indicator to predict returns-volatility.
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