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    Asymmetric Volatility Response to news sentiment in gold futures

    212610_212610.pdf (611.5Kb)
    Access Status
    Open access
    Authors
    Smales, Lee
    Date
    2015
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Smales, L. 2015. Asymmetric Volatility Response to news sentiment in gold futures. Journal of International Financial Markets, Institutions and Money. 34: pp. 161-172.
    Source Title
    Journal of International Financial Markets, Institutions and Money
    DOI
    10.1016/j.intfin.2014.11.001
    ISSN
    1042-4431
    School
    School of Economics and Finance
    Remarks

    NOTICE: this is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, Vol. 34 (2015). DOI: 10.1016/j.intfin.2014.11.001

    URI
    http://hdl.handle.net/20.500.11937/13017
    Collection
    • Curtin Research Publications
    Abstract

    Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry. I identify a link between the time-variation of news sentiment impact and industry beta, and determine that levels of investor sentiment (proxied by VIX) play an important role in explaining this variation.

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