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    News Sentiment and the Investor Fear Gauge

    192921_192921.pdf (483.0Kb)
    Access Status
    Open access
    Authors
    Smales, Lee
    Date
    2013
    Type
    Journal Article
    
    Metadata
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    Citation
    Smales, Lee A. 2013. News Sentiment and the Investor Fear Gauge. Finance Research Letters. 11 (2): pp. 122-130.
    Source Title
    Finance Research Letters
    DOI
    10.1016/j.frl.2013.07.003
    ISSN
    1544-6123
    URI
    http://hdl.handle.net/20.500.11937/26057
    Collection
    • Curtin Research Publications
    Abstract

    This note examines the relationship between aggregate news sentiment and changes in the implied volatility index (VIX). A significant negative contemporaneous relationship between changes in VIX and news sentiment is discovered. The relationship is asymmetric whereby changes in VIX are larger following the release of negative news items.

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