News sentiment and the investor fear gauge
Finance research lettersPublished 26 July 2013Open access
Lee A. Smales
Citations105
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Abstract
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.
Keywords
Economics, Econometrics and Finance
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