News Sentiment and the Investor Fear Gauge

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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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Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	Academic Press 2013
Subjects:	Investor behaviour VIX Stock market Implied volatility News sentiment
Online Access:	http://hdl.handle.net/20.500.11937/26057

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