Investor sentiment and mean-variance relation: Evidence from emerging futures markets
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DOI: 10.1016/j.frl.2021.102397
Abstract: Abstract We examine the role of news sentiment in determining the mean-variance relation in the emerging futures market. The relation is significantly negative for the Kuala Lumpur Composite Index Futures (KLCIF) in high and low… read more here.
Keywords: mean variance; variance relation; sentiment; emerging futures ... See more keywords