Details about Lee A. Smales

Access statistics for papers by Lee A. Smales.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: psm185

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL View citations (2)
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Lund University, Department of Economics (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (2)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)

Journal Articles

2025

1. Investigating proxies for retail investor attention in financial markets
   Accounting and Finance, 2025, 65, (1), 521-550
2. The effect of currency risk on crypto asset utilization in Türkiye
   Emerging Markets Review, 2025, 65, (C)
3. U.S. Presidential news coverage: Risk, uncertainty and stocks
   International Review of Economics & Finance, 2025, 98, (C)

2024

4. Are stablecoins the money market mutual funds of the future?
   Journal of Empirical Finance, 2024, 79, (C)
5. Cryptocurrency as an alternative inflation hedge?
   Accounting and Finance, 2024, 64, (2), 1589-1611
6. Digging deeper - Is bitcoin digital gold? A mining perspective
   Journal of Commodity Markets, 2024, 34, (C)
7. Flight-to-quality—Money market mutual funds and stablecoins during the March 2023 banking crisis
   Economics Letters, 2024, 234, (C) View citations (3)
8. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
   See also Working Paper Nonstandard Errors, Post-Print (2024) View citations (2) (2024)
9. Stock market liquidity during crisis periods: Australian evidence
   Accounting and Finance, 2024, 64, (2), 1849-1878
10. The relevance of dark trading for information acquisition in the German stock market
    Finance Research Letters, 2024, 69, (PB)

2023

11. Classification of RBA monetary policy announcements using ChatGPT
    Finance Research Letters, 2023, 58, (PC) View citations (5)
12. Lost in translation. When sentiment metrics for one market are derived from two different languages
    Journal of Behavioral and Experimental Finance, 2023, 39, (C)
13. 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

14. Investor attention and cryptocurrency price crash risk: a quantile regression approach
    Studies in Economics and Finance, 2022, 39, (3), 490-505 View citations (1)
15. Investor attention in cryptocurrency markets
    International Review of Financial Analysis, 2022, 79, (C) View citations (23)
16. One session options: Playing the announcement lottery?
    Journal of Futures Markets, 2022, 42, (2), 192-211
17. Spreading the fear: The central role of CBOE VIX in global stock market uncertainty
    Global Finance Journal, 2022, 51, (C) View citations (17)
18. The influence of policy uncertainty on exchange rate forecasting
    Journal of Forecasting, 2022, 41, (5), 997-1016 View citations (7)
19. Trading Behavior in Agricultural Commodity Futures around the 52-Week High
    Commodities, 2022, 1, (1), 1-15
20. Trading behavior in bitcoin futures: Following the “smart money”
    Journal of Futures Markets, 2022, 42, (7), 1304-1323 View citations (6)

2021

21. Geopolitical risk and volatility spillovers in oil and stock markets
    The Quarterly Review of Economics and Finance, 2021, 80, (C), 358-366 View citations (55)
22. Investor attention and global market returns during the COVID-19 crisis
    International Review of Financial Analysis, 2021, 73, (C) View citations (71)
23. Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?
    Global Finance Journal, 2021, 48, (C) View citations (2)
24. Policy uncertainty in Australian financial markets
    Australian Journal of Management, 2021, 46, (3), 523-547
25. The effect of treasury auctions on 10‐year Treasury note futures
    Accounting and Finance, 2021, 61, (S1), 1517-1555 View citations (2)
26. Volatility Spillovers among Cryptocurrencies
    JRFM, 2021, 14, (10), 1-12 View citations (1)

2020

27. Examining the relationship between policy uncertainty and market uncertainty across the G7
    International Review of Financial Analysis, 2020, 71, (C) View citations (13)
28. Hedging geopolitical risk with precious metals
    Journal of Banking & Finance, 2020, 117, (C) View citations (119)
29. 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)
30. 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

31. Bitcoin as a safe haven: Is it even worth considering?
    Finance Research Letters, 2019, 30, (C), 385-393 View citations (160)
32. 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)
33. 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

34. Trading Behavior and Monetary Policy News
    Journal of Behavioral Finance, 2018, 19, (4), 365-380

2017

35. A game theory model of regulatory response to insider trading
    Applied Economics Letters, 2017, 24, (7), 448-455
36. 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)
37. 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)
38. Effect of investor fear on Australian financial markets
    Applied Economics Letters, 2017, 24, (16), 1148-1153 View citations (3)
39. The Validity of Investor Sentiment Proxies
    International Review of Finance, 2017, 17, (3), 473-477 View citations (7)
40. The importance of fear: investor sentiment and stock market returns
    Applied Economics, 2017, 49, (34), 3395-3421 View citations (58)
41. 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)
42. “Brexit”: A Case Study in the Relationship Between Political and Financial Market Uncertainty
    International Review of Finance, 2017, 17, (3), 451-459 View citations (17)

2016

43. (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)
44. FX Market Returns and Their Relationship to Investor Fear
    International Review of Finance, 2016, 16, (4), 659-675 View citations (8)
45. Melancholia and Japanese stock returns – 2003 to 2012
    Pacific-Basin Finance Journal, 2016, 40, (PB), 424-437 View citations (4)
46. News sentiment and bank credit risk
    Journal of Empirical Finance, 2016, 38, (PA), 37-61 View citations (18)
47. Order aggressiveness of different broker-types in response to monetary policy news
    Pacific-Basin Finance Journal, 2016, 40, (PB), 367-383 View citations (2)
48. Risk-on/Risk-off: Financial market response to investor fear
    Finance Research Letters, 2016, 17, (C), 125-134 View citations (13)
49. 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)
50. The role of political uncertainty in Australian financial markets
    Accounting and Finance, 2016, 56, (2), 545-575 View citations (13)
51. Time-varying relationship of news sentiment, implied volatility and stock returns
    Applied Economics, 2016, 48, (51), 4942-4960 View citations (11)
52. 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

53. 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)
54. 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)
55. Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
    Applied Economics Letters, 2015, 22, (9), 710-716
56. 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)
57. Time-variation in the impact of news sentiment
    International Review of Financial Analysis, 2015, 37, (C), 40-50 View citations (12)

2014

58. News sentiment and the investor fear gauge
    Finance Research Letters, 2014, 11, (2), 122-130 View citations (50)
59. News sentiment in the gold futures market
    Journal of Banking & Finance, 2014, 49, (C), 275-286 View citations (67)
60. Non-scheduled news arrival and high-frequency stock market dynamics
    Research in International Business and Finance, 2014, 32, (C), 122-138 View citations (12)
61. 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)
62. Reaction to nonscheduled news during financial crisis: Australian evidence
    Applied Economics Letters, 2014, 21, (17), 1214-1220 View citations (2)
63. 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

64. Bond futures and order imbalance
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 113-132 View citations (2)
65. 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)
66. The Determinants of RBA Target Rate Decisions: A Choice Modelling Approach
    The Economic Record, 2013, 89, (287), 556-569 View citations (3)

2012

67. 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)