This paper investigates the relationship between US stock market returns (S&P500) and
three indicators of the market, namely implied volatility, implied correlation and liquidity. It …

The authors explore the interaction between media content and market returns and volatility.
They utilize propriety investor sentiment measures developed by Thompson Reuters …

This paper investigates the information content of volatility indices for the purpose of
predicting the future direction of the stock market. To this end, different machine learning …

Many stock investors make investment decisions based on stock‐price‐related chip
indicators. However, in addition to quantified data, financial news often has a nonnegligible …

For nearly every major stock market there exist equity and implied volatility indices. These
play important roles within finance: be it as a benchmark, a measure of general uncertainty …

Using recent data about US companies that announced they were suspending their
business activities in Russia following the invasion of Ukraine, we test how their decision …

We explore the ability of market emotions (fear, gloom, joy, optimism) to predict S&P 500
Index and 10-year Treasury notes futures returns by utilizing VAR and TGARCH models. In …

This study provides empirical evidence supporting Hirshleifer's psychology-based asset-
pricing theory proposition that investors' emotions affect contemporary stock returns. The …

This paper explores the profitability of simple short-term cross-sectional trading strategies
based on the implied volatility index (VIX), often referred to as an “investor fear gauge” in the …

Purpose The purpose of the paper is to investigate co-movement of major implied volatility
indices and economic policy uncertainty (EPU) indices with both the health-based fear index …