News Sentiment and the Investor Fear Gauge
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 follow...
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| Format: | Journal Article |
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Academic Press
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/26057 |