News sentiment and the investor fear gauge

Lee Smales

Finance Research Letters, 2014, vol. 11, issue 2, 122-130

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: News sentiment; VIX; Implied volatility; Stock market; Investor behaviour (search for similar items in EconPapers)
JEL-codes: C2 G1 G11 G14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (50)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:2:p:122-130

DOI: 10.1016/j.frl.2013.07.003

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