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News sentiment and the investor fear gauge

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  • Smales, Lee A.

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.

Suggested Citation

  • Smales, Lee A., 2014. "News sentiment and the investor fear gauge," Finance Research Letters, Elsevier, vol. 11(2), pages 122-130.
    • Handle: RePEc:eee:finlet:v:11:y:2014:i:2:p:122-130
    DOI: 10.1016/j.frl.2013.07.003
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    References listed on IDEAS

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    1. Jeff Fleming & Barbara Ostdiek & Robert E. Whaley, 1995. "Predicting stock market volatility: A new measure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(3), pages 265-302, May.
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    More about this item

    Keywords

    News sentiment; VIX; Implied volatility; Stock market; Investor behaviour;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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