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 language | English |
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Pages (from-to) | 122-130 |
Number of pages | 9 |
Journal | Finance Research Letters |
Volume | 11 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1 Jan 2014 |
Externally published | Yes |