Time-varying relationship of news sentiment, implied volatility and stock returns

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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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Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	Routledge 2016
Online Access:	http://hdl.handle.net/20.500.11937/25651

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