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dc.contributor.authorSmales, Lee
dc.date.accessioned2017-01-30T12:51:32Z
dc.date.available2017-01-30T12:51:32Z
dc.date.created2013-09-26T20:00:44Z
dc.date.issued2013
dc.date.submitted2013-12-10
dc.identifier.citationSmales, Lee A. 2013. News Sentiment and the Investor Fear Gauge. Finance Research Letters. 11 (2): pp. 122-130.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/26057
dc.identifier.doi10.1016/j.frl.2013.07.003
dc.description.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.

dc.publisherAcademic Press
dc.subjectInvestor behaviour
dc.subjectVIX
dc.subjectStock market
dc.subjectImplied volatility
dc.subjectNews sentiment
dc.titleNews Sentiment and the Investor Fear Gauge
dc.typeJournal Article
dcterms.dateSubmitted2013-09-27
dcterms.source.volume10
dcterms.source.number4
dcterms.source.startPage1
dcterms.source.endPage9
dcterms.source.issn1544-6123
dcterms.source.titleFinance Research Letters
curtin.digitool.pid192921
curtin.department
curtin.accessStatusOpen access


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