Asymmetric Volatility Response to news sentiment in gold futures
Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news s...
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2015
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/13017 |
| _version_ | 1848748236188155904 |
|---|---|
| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry. I identify a link between the time-variation of news sentiment impact and industry beta, and determine that levels of investor sentiment (proxied by VIX) play an important role in explaining this variation. |
| first_indexed | 2025-11-14T07:01:50Z |
| format | Journal Article |
| id | curtin-20.500.11937-13017 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:01:50Z |
| publishDate | 2015 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-130172019-02-19T04:25:43Z Asymmetric Volatility Response to news sentiment in gold futures Smales, Lee Asymmetric response Trading behaviour Gold News sentiment Volatility Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. I find a highly significant relationship between aggregated measures of news sentiment and stock returns that fluctuates over time and by industry. I identify a link between the time-variation of news sentiment impact and industry beta, and determine that levels of investor sentiment (proxied by VIX) play an important role in explaining this variation. 2015 Journal Article http://hdl.handle.net/20.500.11937/13017 10.1016/j.intfin.2014.11.001 Elsevier BV * North-Holland fulltext |
| spellingShingle | Asymmetric response Trading behaviour Gold News sentiment Volatility Smales, Lee Asymmetric Volatility Response to news sentiment in gold futures |
| title | Asymmetric Volatility Response to news sentiment in gold futures |
| title_full | Asymmetric Volatility Response to news sentiment in gold futures |
| title_fullStr | Asymmetric Volatility Response to news sentiment in gold futures |
| title_full_unstemmed | Asymmetric Volatility Response to news sentiment in gold futures |
| title_short | Asymmetric Volatility Response to news sentiment in gold futures |
| title_sort | asymmetric volatility response to news sentiment in gold futures |
| topic | Asymmetric response Trading behaviour Gold News sentiment Volatility |
| url | http://hdl.handle.net/20.500.11937/13017 |