News sentiment and the investor fear gauge

Research output: Contribution to journalArticle

38 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)122-130
Number of pages9
JournalFinance Research Letters
Volume11
Issue number2
DOIs
Publication statusPublished - 1 Jan 2014
Externally publishedYes

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