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 following the release of negative news items.

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Year of publication:	2014
Authors:	Smales, Lee A.
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 2, p. 122-130
Publisher:	Elsevier
Subject:	News sentiment \| VIX \| Implied volatility \| Stock market \| Investor behaviour

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Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; G1 - General Financial Markets ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010785423