News Sentiment and the Investor Fear Gauge
Access Status
Open access
Authors
Smales, Lee
Date
2013Collection
Type
Journal Article
Metadata
Show full item recordAbstract
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.
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
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