We examine the relative effects of rational and irrational investor sentiments on Dow Jones Industrial Average and S&P500 returns. The impact of rational sentiments on stock market returns is found to be greater than that of irrational sentiments. There are immediate positive responses of stock...

This paper presents empirical evidence relating the changes in the US Treasury Bill (T-Bills) yields to equity market movements in Latin America using data prior to the 1994 Mexican financial crisis. The results from estimating a vector autoregressive (VAR) model suggest that there is a strong...

This study empirically examines the dynamic relationship between Dow Jones Industrial Average (DJIA) spot and futures markets by constructing a vector autoregressive (VAR) model. The volatility series in the VAR model are derived from the GARCH model estimations. The findings show evidence of...