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dc.contributor.authorSmales, Lee
dc.date.accessioned2017-01-30T11:34:15Z
dc.date.available2017-01-30T11:34:15Z
dc.date.created2014-12-11T20:00:20Z
dc.date.issued2015
dc.identifier.citationSmales, L. 2015. Asymmetric Volatility Response to news sentiment in gold futures. Journal of International Financial Markets, Institutions and Money. 34: pp. 161-172.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/13017
dc.identifier.doi10.1016/j.intfin.2014.11.001
dc.description.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.

dc.publisherElsevier BV * North-Holland
dc.subjectAsymmetric response
dc.subjectTrading behaviour
dc.subjectGold
dc.subjectNews sentiment
dc.subjectVolatility
dc.titleAsymmetric Volatility Response to news sentiment in gold futures
dc.typeJournal Article
dcterms.source.volume34
dcterms.source.startPage161
dcterms.source.endPage172
dcterms.source.issn1042-4431
dcterms.source.titleJournal of International Financial Markets, Institutions and Money
curtin.note

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

curtin.departmentSchool of Economics and Finance
curtin.accessStatusOpen access


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