| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069611 | Finance Research Letters | 2014 | 9 Pages |
â¢This note intersects these two developing avenues of research in financial economics.â¢The relationship between news sentiment and changes in implied volatility is studied.â¢A negative contemporaneous relationship between changes in VIX and news sentiment.â¢The relationship is asymmetric whereby changes in VIX are larger following the release of negative news items.â¢The relationship between news and VIX is stronger in times of market turmoil.
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.
