News sentiment and the investor fear gauge

Lee A. Smales

doi:10.1016/j.frl.2013.07.003

News sentiment and the investor fear gauge

Lee A. Smales

Research output: Contribution to journal › Article › peer-review

48 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 language	English
Pages (from-to)	122-130
Number of pages	9
Journal	Finance Research Letters
Volume	11
Issue number	2
DOIs	https://doi.org/10.1016/j.frl.2013.07.003
Publication status	Published - 1 Jan 2014
Externally published	Yes

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10.1016/j.frl.2013.07.003

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title = "News sentiment and the investor fear gauge",

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.",

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KW - Investor behaviour

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KW - Stock market

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News sentiment and the investor fear gauge

Abstract

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