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• W2051090660 abstract "This paper seeks to consider the relationship between the sentiment of newswire messages and the volatility of returns in the gold futures market. In particular, answers are sought to two key questions: firstly, how is the volatility of returns in the gold futures market influenced by the sentiment of non-scheduled news events? Secondly, is this news–volatility relationship affected by the state of the business cycle? The empirical evidence points to the sentiment of newswire messages having a significant asymmetrical impact on volatility such that negative news has a significantly greater impact on volatility than does positive news. There is evidence to suggest that participants in the gold futures market initially over-react to newswire messages and this is subsequently reversed. The recessionary environment of Q4 2007–Q2 2009, serves to greatly increase the volatility response to newswire messages." @default.
• W2051090660 created "2016-06-24" @default.
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• W2051090660 date "2015-01-01" @default.
• W2051090660 modified "2023-09-25" @default.
• W2051090660 title "Asymmetric volatility response to news sentiment in gold futures" @default.
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• W2051090660 doi "https://doi.org/10.1016/j.intfin.2014.11.001" @default.
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