Corredor, Pilar; Ferrer, Elena; Santamaria, Rafael - In: International Review of Economics & Finance 35 (2015) C, pp. 180-196
This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a...