News Sentiment and the Investor Fear Gauge
| dc.contributor.author | Smales, Lee | |
| dc.date.accessioned | 2017-01-30T12:51:32Z | |
| dc.date.available | 2017-01-30T12:51:32Z | |
| dc.date.created | 2013-09-26T20:00:44Z | |
| dc.date.issued | 2013 | |
| dc.identifier.citation | Smales, Lee A. 2013. News Sentiment and the Investor Fear Gauge. Finance Research Letters. 11 (2): pp. 122-130. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/26057 | |
| dc.identifier.doi | 10.1016/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.publisher | Academic Press | |
| dc.subject | Investor behaviour | |
| dc.subject | VIX | |
| dc.subject | Stock market | |
| dc.subject | Implied volatility | |
| dc.subject | News sentiment | |
| dc.title | News Sentiment and the Investor Fear Gauge | |
| dc.type | Journal Article | |
| dcterms.source.volume | 10 | |
| dcterms.source.number | 4 | |
| dcterms.source.startPage | 1 | |
| dcterms.source.endPage | 9 | |
| dcterms.source.issn | 1544-6123 | |
| dcterms.source.title | Finance Research Letters | |
| curtin.department | ||
| curtin.accessStatus | Open access |