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dc.contributor.author
Ladopoulou, Maria Kyriaki
en
dc.date.accessioned
2020-05-21T11:41:02Z
dc.date.available
2020-05-22T00:00:25Z
dc.date.issued
2020-05-21
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/29453
dc.rights
Default License
dc.subject
Behavioral finance
el
dc.subject
Stock exchange market
el
dc.subject
S&P 500
el
dc.subject
VIX
el
dc.subject
Fear Index
el
dc.subject
Financial crisis
el
dc.title
The impact of Behavioral Finance on Capital Markets
en
heal.type
masterThesis
en_US
heal.secondaryTitle
The fear index and stock market returns
en
heal.language
en
en_US
heal.access
free
en_US
heal.license
http://creativecommons.org/licenses/by-nc/4.0
en_US
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
en_US
heal.publicationDate
2019-12-14
heal.abstract
This dissertation was written as part of the Master of Science (MSc) in Banking and Finance at the International Hellenic University. This research provides an introduction to Behavioral Finance and empirically investigates sentiment captured by the well-known VIX index (the fear index) in the US stock exchange. As expected by previous literature, a negative relationship between the fear index and the stock market index is documented along with the asymmetric relationship of the VIX index and the S&P500 index from January 2000 to October 2019. Moreover, in order to further elaborate on the relationship between fear and stock market sub-periods are examined to cover the period before, during and after the global financial crisis of 2007-2009. The empirical results provide recent evidence to general asymmetry in the reaction of the fear index to the stock market returns. In fact, it seems that the estimated negative asymmetric relationship was strong before the global financial crisis and became even stronger after the global financial crisis. This study indicates the significant role of investor sentiment in the investment environment especially during crisis periods and provides useful results for market participants.
el
heal.advisorName
Economou, Fotini
el
heal.committeeMemberName
Archontakis, Fragiskos
en
heal.academicPublisher
IHU
el
heal.academicPublisherID
ihu
en_US


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