Matches in SemOpenAlex for { <https://semopenalex.org/work/W1800109283> ?p ?o ?g. }
Showing items 1 to 51 of
51
with 100 items per page.
- W1800109283 abstract "I examine the relationship between aggregate news sentiment, S&P 500 Index returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric whereby changes in VIX are larger following negative news and/or stock market declines. VAR analysis of the dynamics and cross-dependencies between variables reveals a strong positive relationship between previous and current period changes in implied volatility and stock returns, while current period and lagged news sentiment has a significant positive (negative) relationship with stock returns (changes in VIX). I develop a simple trading strategy whereby high (low) levels of implied volatility signal attractive opportunities to take long (short) positions in the underlying index, while extremely negative (positive) news sentiment signals opportunities to enter short (long) index positions." @default.
- W1800109283 created "2016-06-24" @default.
- W1800109283 creator A5087998313 @default.
- W1800109283 date "2012-01-01" @default.
- W1800109283 modified "2023-09-23" @default.
- W1800109283 title "Time-Varying Relationship of News Sentiment, Implied Volatility and Stock Returns" @default.
- W1800109283 doi "https://doi.org/10.2139/ssrn.2186267" @default.
- W1800109283 hasPublicationYear "2012" @default.
- W1800109283 type Work @default.
- W1800109283 sameAs 1800109283 @default.
- W1800109283 citedByCount "1" @default.
- W1800109283 countsByYear W18001092832021 @default.
- W1800109283 crossrefType "journal-article" @default.
- W1800109283 hasAuthorship W1800109283A5087998313 @default.
- W1800109283 hasBestOaLocation W18001092832 @default.
- W1800109283 hasConcept C106159729 @default.
- W1800109283 hasConcept C149782125 @default.
- W1800109283 hasConcept C162324750 @default.
- W1800109283 hasConcept C166957645 @default.
- W1800109283 hasConcept C204036174 @default.
- W1800109283 hasConcept C205649164 @default.
- W1800109283 hasConcept C24189920 @default.
- W1800109283 hasConcept C556758197 @default.
- W1800109283 hasConcept C91602232 @default.
- W1800109283 hasConceptScore W1800109283C106159729 @default.
- W1800109283 hasConceptScore W1800109283C149782125 @default.
- W1800109283 hasConceptScore W1800109283C162324750 @default.
- W1800109283 hasConceptScore W1800109283C166957645 @default.
- W1800109283 hasConceptScore W1800109283C204036174 @default.
- W1800109283 hasConceptScore W1800109283C205649164 @default.
- W1800109283 hasConceptScore W1800109283C24189920 @default.
- W1800109283 hasConceptScore W1800109283C556758197 @default.
- W1800109283 hasConceptScore W1800109283C91602232 @default.
- W1800109283 hasLocation W18001092831 @default.
- W1800109283 hasLocation W18001092832 @default.
- W1800109283 hasOpenAccess W1800109283 @default.
- W1800109283 hasPrimaryLocation W18001092831 @default.
- W1800109283 hasRelatedWork W1569950097 @default.
- W1800109283 hasRelatedWork W1966402432 @default.
- W1800109283 hasRelatedWork W2026234665 @default.
- W1800109283 hasRelatedWork W2036948323 @default.
- W1800109283 hasRelatedWork W2613826222 @default.
- W1800109283 hasRelatedWork W3041079455 @default.
- W1800109283 hasRelatedWork W3080885603 @default.
- W1800109283 hasRelatedWork W3122698084 @default.
- W1800109283 hasRelatedWork W3123133343 @default.
- W1800109283 hasRelatedWork W3171582335 @default.
- W1800109283 isParatext "false" @default.
- W1800109283 isRetracted "false" @default.
- W1800109283 magId "1800109283" @default.
- W1800109283 workType "article" @default.