News Sentiment and the Investor Fear Gauge
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Open access
Authors
Smales, Lee
Date
2013Type
Journal Article
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Smales, Lee A. 2013. News Sentiment and the Investor Fear Gauge. Finance Research Letters. 11 (2): pp. 122-130.
Source Title
Finance Research Letters
ISSN
Collection
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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