Time-varying relationship of news sentiment, implied volatility and stock returns
I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetri...
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| Format: | Journal Article |
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Routledge
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/25651 |