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 |
| _version_ | 1848751877467930624 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:59:42Z |
| format | Journal Article |
| id | curtin-20.500.11937-26057 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:59:42Z |
| publishDate | 2013 |
| publisher | Academic Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-260572017-09-13T15:23:54Z News Sentiment and the Investor Fear Gauge Smales, Lee Investor behaviour VIX Stock market Implied volatility News sentiment 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. 2013 Journal Article http://hdl.handle.net/20.500.11937/26057 10.1016/j.frl.2013.07.003 Academic Press fulltext |
| spellingShingle | Investor behaviour VIX Stock market Implied volatility News sentiment Smales, Lee News Sentiment and the Investor Fear Gauge |
| title | News Sentiment and the Investor Fear Gauge |
| title_full | News Sentiment and the Investor Fear Gauge |
| title_fullStr | News Sentiment and the Investor Fear Gauge |
| title_full_unstemmed | News Sentiment and the Investor Fear Gauge |
| title_short | News Sentiment and the Investor Fear Gauge |
| title_sort | news sentiment and the investor fear gauge |
| topic | Investor behaviour VIX Stock market Implied volatility News sentiment |
| url | http://hdl.handle.net/20.500.11937/26057 |