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    Effect of investor fear on Australian financial markets

    Access Status
    Fulltext not available
    Authors
    Smales, Lee
    Date
    2017
    Type
    Journal Article
    
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    Citation
    Smales, L. 2017. Effect of investor fear on Australian financial markets. Applied Economics Letters. In Press.
    Source Title
    Applied Economics Letters
    DOI
    10.1080/13504851.2016.1259744
    ISSN
    1350-4851
    School
    Curtin Graduate School of Business
    URI
    http://hdl.handle.net/20.500.11937/51595
    Collection
    • Curtin Research Publications
    Abstract

    We examine the relationship between changes in the level of investor fear (proxied by the ASX 200 implied volatility index) and Australian financial market returns. We document a statistically significant relationship, across asset classes, where returns decline as investor fear increases. Returns are more sensitive to changes in the level of investor fear during the financial crisis of 2008–2009, when investor fear spikes sharply. Taken together, the results confirm that Australian financial market returns are closely related to prevailing levels of investor fear.

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