Details about Lee A. Smales
Access statistics for papers by Lee A. Smales.
Last updated 2025-03-15. Update your information in the RePEc Author Service.
Short-id: psm185
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Working Papers
2024
- Nonstandard Errors
Post-Print, HAL 
Also in Working Papers, Lund University, Department of Economics (2021)  LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)  Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)
Journal Articles
2025
- The effect of currency risk on crypto asset utilization in Türkiye
Emerging Markets Review, 2025, 65, (C)
- U.S. Presidential news coverage: Risk, uncertainty and stocks
International Review of Economics & Finance, 2025, 98, (C)
2024
- Are stablecoins the money market mutual funds of the future?
Journal of Empirical Finance, 2024, 79, (C)
- Digging deeper - Is bitcoin digital gold? A mining perspective
Journal of Commodity Markets, 2024, 34, (C)
- Flight-to-quality—Money market mutual funds and stablecoins during the March 2023 banking crisis
Economics Letters, 2024, 234, (C) View citations (3)
- Nonstandard Errors
Journal of Finance, 2024, 79, (3), 2339-2390 
See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)
- The relevance of dark trading for information acquisition in the German stock market
Finance Research Letters, 2024, 69, (PB)
2023
- Classification of RBA monetary policy announcements using ChatGPT
Finance Research Letters, 2023, 58, (PC) View citations (4)
- Lost in translation. When sentiment metrics for one market are derived from two different languages
Journal of Behavioral and Experimental Finance, 2023, 39, (C)
- Short interest and the stock market relation with news sentiment from traditional and social media sources
Australian Economic Papers, 2023, 62, (2), 321-334
2022
- Investor attention and cryptocurrency price crash risk: a quantile regression approach
Studies in Economics and Finance, 2022, 39, (3), 490-505 View citations (1)
- Investor attention in cryptocurrency markets
International Review of Financial Analysis, 2022, 79, (C) View citations (23)
- One session options: Playing the announcement lottery?
Journal of Futures Markets, 2022, 42, (2), 192-211
- Spreading the fear: The central role of CBOE VIX in global stock market uncertainty
Global Finance Journal, 2022, 51, (C) View citations (17)
- The influence of policy uncertainty on exchange rate forecasting
Journal of Forecasting, 2022, 41, (5), 997-1016 View citations (7)
- Trading Behavior in Agricultural Commodity Futures around the 52-Week High
Commodities, 2022, 1, (1), 1-15
- Trading behavior in bitcoin futures: Following the “smart money”
Journal of Futures Markets, 2022, 42, (7), 1304-1323 View citations (6)
2021
- Geopolitical risk and volatility spillovers in oil and stock markets
The Quarterly Review of Economics and Finance, 2021, 80, (C), 358-366 View citations (54)
- Investor attention and global market returns during the COVID-19 crisis
International Review of Financial Analysis, 2021, 73, (C) View citations (71)
- Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?
Global Finance Journal, 2021, 48, (C) View citations (2)
- Policy uncertainty in Australian financial markets
Australian Journal of Management, 2021, 46, (3), 523-547
- The effect of treasury auctions on 10‐year Treasury note futures
Accounting and Finance, 2021, 61, (S1), 1517-1555 View citations (2)
- Volatility Spillovers among Cryptocurrencies
JRFM, 2021, 14, (10), 1-12 View citations (1)
2020
- Examining the relationship between policy uncertainty and market uncertainty across the G7
International Review of Financial Analysis, 2020, 71, (C) View citations (12)
- Hedging geopolitical risk with precious metals
Journal of Banking & Finance, 2020, 117, (C) View citations (115)
- Investor attention and the response of US stock market sectors to the COVID-19 crisis
Review of Behavioral Finance, 2020, 13, (1), 20-39 View citations (7)
- One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns
Economic Papers, 2020, 39, (2), 118-132 View citations (13)
2019
- Bitcoin as a safe haven: Is it even worth considering?
Finance Research Letters, 2019, 30, (C), 385-393 View citations (156)
- Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market
International Review of Economics & Finance, 2019, 59, (C), 234-252 View citations (4)
- The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets
Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 19-38 View citations (13)
2018
- Trading Behavior and Monetary Policy News
Journal of Behavioral Finance, 2018, 19, (4), 365-380
2017
- A game theory model of regulatory response to insider trading
Applied Economics Letters, 2017, 24, (7), 448-455
- Commodity market volatility in the presence of U.S. and Chinese macroeconomic news
Journal of Commodity Markets, 2017, 7, (C), 15-27 View citations (18)
- Does more complex language in FOMC decisions impact financial markets?
Journal of International Financial Markets, Institutions and Money, 2017, 51, (C), 171-189 View citations (12)
- Effect of investor fear on Australian financial markets
Applied Economics Letters, 2017, 24, (16), 1148-1153 View citations (3)
- The Validity of Investor Sentiment Proxies
International Review of Finance, 2017, 17, (3), 473-477 View citations (7)
- The importance of fear: investor sentiment and stock market returns
Applied Economics, 2017, 49, (34), 3395-3421 View citations (58)
- Understanding the impact of monetary policy announcements: The importance of language and surprises
Journal of Banking & Finance, 2017, 80, (C), 33-50 View citations (16)
- “Brexit”: A Case Study in the Relationship Between Political and Financial Market Uncertainty
International Review of Finance, 2017, 17, (3), 451-459 View citations (13)
2016
- (Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets
Financial Markets and Portfolio Management, 2016, 30, (1), 63-94 View citations (5)
Also in Financial Markets and Portfolio Management, 2016, 30, (1), 63-94 (2016) View citations (5)
- FX Market Returns and Their Relationship to Investor Fear
International Review of Finance, 2016, 16, (4), 659-675 View citations (8)
- Melancholia and Japanese stock returns – 2003 to 2012
Pacific-Basin Finance Journal, 2016, 40, (PB), 424-437 View citations (4)
- News sentiment and bank credit risk
Journal of Empirical Finance, 2016, 38, (PA), 37-61 View citations (18)
- Order aggressiveness of different broker-types in response to monetary policy news
Pacific-Basin Finance Journal, 2016, 40, (PB), 367-383 View citations (2)
- Risk-on/Risk-off: Financial market response to investor fear
Finance Research Letters, 2016, 17, (C), 125-134 View citations (13)
- The influence of FOMC member characteristics on the monetary policy decision-making process
Journal of Banking & Finance, 2016, 64, (C), 216-231 View citations (18)
- The role of political uncertainty in Australian financial markets
Accounting and Finance, 2016, 56, (2), 545-575 View citations (13)
- Time-varying relationship of news sentiment, implied volatility and stock returns
Applied Economics, 2016, 48, (51), 4942-4960 View citations (11)
- Trading behavior in S&P 500 index futures
Review of Financial Economics, 2016, 28, (1), 46-55 View citations (2)
Also in Review of Financial Economics, 2016, 28, (C), 46-55 (2016) View citations (4)
2015
- Asymmetric volatility response to news sentiment in gold futures
Journal of International Financial Markets, Institutions and Money, 2015, 34, (C), 161-172 View citations (29)
- Better the devil you know: The influence of political incumbency on Australian financial market uncertainty
Research in International Business and Finance, 2015, 33, (C), 59-74 View citations (8)
- Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
Applied Economics Letters, 2015, 22, (9), 710-716
- The importance of belief dispersion in the response of gold futures to macroeconomic announcements
International Review of Financial Analysis, 2015, 41, (C), 292-302 View citations (24)
- Time-variation in the impact of news sentiment
International Review of Financial Analysis, 2015, 37, (C), 40-50 View citations (12)
2014
- News sentiment and the investor fear gauge
Finance Research Letters, 2014, 11, (2), 122-130 View citations (50)
- News sentiment in the gold futures market
Journal of Banking & Finance, 2014, 49, (C), 275-286 View citations (67)
- Non-scheduled news arrival and high-frequency stock market dynamics
Research in International Business and Finance, 2014, 32, (C), 122-138 View citations (12)
- Political uncertainty and financial market uncertainty in an Australian context
Journal of International Financial Markets, Institutions and Money, 2014, 32, (C), 415-435 View citations (17)
- Reaction to nonscheduled news during financial crisis: Australian evidence
Applied Economics Letters, 2014, 21, (17), 1214-1220 View citations (2)
- The relationship between financial asset returns and the well-being of US households
Applied Economics Letters, 2014, 21, (17), 1184-1188 View citations (1)
2013
- Bond futures and order imbalance
Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 113-132 View citations (2)
- IMPACT OF MACROECONOMIC ANNOUNCEMENTS ON INTEREST RATE FUTURES: HIGH-FREQUENCY EVIDENCE FROM AUSTRALIA
Journal of Financial Research, 2013, 36, (3), 371-388 View citations (16)
- The Determinants of RBA Target Rate Decisions: A Choice Modelling Approach
The Economic Record, 2013, 89, (287), 556-569 View citations (3)
2012
- 30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements
Journal of International Financial Markets, Institutions and Money, 2012, 22, (4), 1006-1023 View citations (5)
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