Bianconi, Marcelo; Hua, Xiaxin; Tan, Chih Ming - Rimini Centre for Economic Analysis (RCEA) - 2013
We study the effects of two measures of information dissemination on the determination of systemic risk. One measure is print-media consumer sentiment based while the other is volatility based. We find evidence that while the volatility measure (VIX) of future expectations has a more significant...