The effects of news events on market contagion: Evidence from the 2007–2009 fin

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【全文链接或数据库名称(选填)】The effects of news events on market contagion: Evidence from the 2007–2009 financial crisisT Chevapatrakul, KH Tee - Research in International Business and …, 2014 - Elsevier
... presented in Table 1, took place. As a proxy for the risk-free rate, we use the yields
on the 3-month T-bills. To evaluate whether contagion is reflected in market sentiments
variables, we use VIX as a proxy for investors' sentiments. 2. ...
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