Lee A. Smales

University of Western Australia

Associate Professor

UWA Business School

35 Stirling Highway

Perth, Western Australia 6009

Australia

SCHOLARLY PAPERS

36

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3,799

CITATIONS
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Top 10,985

in Total Papers Citations

49

Scholarly Papers (36)

1.

Time-Varying Relationship of News Sentiment, Implied Volatility and Stock Returns

Applied Economics, Forthcoming, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 23 Posted: 13 Dec 2012 Last Revised: 16 Mar 2016
Lee A. Smales
University of Western Australia
Downloads 541 (49,413)
Citation 2

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VIX, VAR, News Sentiment, S&P500, Equity

2.

The Importance of Fear: Investor Sentiment and Stock Market Returns

Applied Economics, Forthcoming
Number of pages: 34 Posted: 19 Mar 2016 Last Revised: 24 Nov 2016
Lee A. Smales
University of Western Australia
Downloads 440 (64,017)
Citation 1

Abstract:

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Investor sentiment, Financial markets, VIX, Stock markets

3.

'Brexit': A Case Study in the Relationship between Political and Financial Market Uncertainty

International Review of Finance, Forthcoming
Number of pages: 13 Posted: 07 Jul 2016 Last Revised: 01 Aug 2016
Lee A. Smales
University of Western Australia
Downloads 429 (65,993)
Citation 1

Abstract:

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Political uncertainty, Investor sentiment, Implied volatility, Stock markets, Brexit

4.

News Sentiment in the Gold Futures Market

Journal of Banking and Finance, 2014, 49, 275-286
Number of pages: 32 Posted: 22 Aug 2013 Last Revised: 04 Dec 2014
Lee A. Smales
University of Western Australia
Downloads 270 (111,385)
Citation 17

Abstract:

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News sentiment, Gold futures, Trading Behaviour, Market positioning

5.

Gold and Geopolitical Risk

Number of pages: 25 Posted: 13 Feb 2018
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 209 (143,852)

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Gold; safe haven; geopolitical risks; VIX; precious metals; Bitcoin

6.

Risk-On/Risk-Off: Financial Market Response to Investor Fear

Finance Research Letters, Vol. 17, 2016
Number of pages: 17 Posted: 08 Feb 2016 Last Revised: 03 Aug 2016
Lee A. Smales
University of Western Australia
Downloads 173 (170,935)
Citation 5

Abstract:

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VIX, Investor Fear, Financial Markets, Financial Crisis

7.

Non-Scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence from the Australian Securities Exchange

Research International Business and Finance, Forthcoming, 25th Australasian Finance and Banking Conference 2012
Number of pages: 27 Posted: 17 Aug 2012 Last Revised: 21 Jun 2014
Lee A. Smales
University of Western Australia
Downloads 146 (197,337)
Citation 1

Abstract:

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News Analytics, Australia, Non-scheduled news, Stock market

8.

News Sentiment and Measures of Bank Credit Risk

Journal of Empirical Finance, Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 28 Posted: 31 May 2014 Last Revised: 05 May 2016
Lee A. Smales
University of Western Australia
Downloads 132 (214,019)
Citation 1

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News Sentiment, LIBOR, CDS, Credit Risk, TRNA

9.

Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia

Journal of Financial Research, Forthcoming
Number of pages: 31 Posted: 23 Dec 2011 Last Revised: 10 Jun 2013
Lee A. Smales
University of Western Australia
Downloads 125 (223,165)
Citation 1

Abstract:

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Interest Rates, Futures Markets, Australia, High-Frequency, GFC, Trading Activity

10.

Bitcoin as a Safe Haven: Is It Even Worth Considering?

Number of pages: 21 Posted: 22 Jul 2018 Last Revised: 18 Aug 2018
Lee A. Smales
University of Western Australia
Downloads 117 (234,485)

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Bitcoin, Safe Haven, Gold, Cryptofinance, Cryptocurrency

11.

A Game Theory Model of Regulatory Response to Insider Trading

Applied Economics Letters, Forthcoming
Number of pages: 15 Posted: 19 Dec 2012 Last Revised: 08 Jun 2016
Lee A. Smales and Matthias Thul
University of Western Australia and University of New South Wales (UNSW)
Downloads 108 (248,292)

Abstract:

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Regulators, SEC, Insider trading, Game theory, numerical solution, Financial markets

12.

Do Item Writing Best Practices Improve Multiple Choice Questions for University Students?

Number of pages: 36 Posted: 24 May 2018
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control, University of Western Australia, CFA Institute and University of Technology Sydney (UTS)
Downloads 107 (249,917)

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Assessment, business education, test validity, multiple-choice questions, best practices

13.

Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market

Research in International Business and Finance, 2012, Vol. 26, Issue 3, P410-427, 2012 Financial Markets & Corporate Governance Conference
Number of pages: 28 Posted: 18 Nov 2011 Last Revised: 11 Jan 2013
Lee A. Smales
University of Western Australia
Downloads 89 (282,149)

Abstract:

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Australia, Futures Markets, Macroeconomic News Announcements, Order Imbalance, Interest Rate Futures

14.

Bond Futures and Order Imbalance: An International Comparison

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 25 Posted: 07 Nov 2011 Last Revised: 10 Jun 2013
Lee A. Smales
University of Western Australia
Downloads 84 (292,504)

Abstract:

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bond futures, order imbalance, trading volume, dynamic relationship, VAR

FX Market Returns and Their Relationship to Investor Fear

International Review of Finance, Forthcoming
Number of pages: 13 Posted: 13 Jan 2016 Last Revised: 26 Feb 2016
Lee A. Smales and Jardee Kininmonth
University of Western Australia and Curtin University
Downloads 81 (301,787)

Abstract:

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VIX, FX market, Carry trade, GFC

FX Market Returns and Their Relationship to Investor Fear

International Review of Finance, Vol. 16, Issue 4, pp. 659-675, 2016
Number of pages: 17 Posted: 07 Dec 2016
Lee A. Smales and Jardee Kininmonth
University of Western Australia and Curtin University
Downloads 0
Citation 1
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16.

Trading Behaviour and Monetary Policy News

Journal of Behavioral Finance, Forthcoming, 28th Australasian Finance and Banking Conference
Number of pages: 33 Posted: 03 Aug 2015 Last Revised: 27 Feb 2017
Lee A. Smales
University of Western Australia
Downloads 81 (298,998)

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Trading behaviour, Stock market, Institutional brokers, Retail brokers, Monetary policy, RBA

17.

30-Day Interbank Futures: Investigating the Process of Price Discovery Following RBA Cash Target Rate Announcements

Journal of International Financial Markets, Institutions and Money, Forthcoming, 24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 35 Posted: 05 Aug 2011 Last Revised: 10 Jan 2012
Lee A. Smales
University of Western Australia
Downloads 73 (317,681)
Citation 3

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Monetary Policy, RBA, Interbank futures, Macroeconomic Events, Futures

18.

RBA Monetary Policy Communication: The Response of Australian Interest Rate Futures to Changes in RBA Monetary Policy

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 28 Posted: 13 Feb 2012 Last Revised: 04 Apr 2012
Lee A. Smales
University of Western Australia
Downloads 72 (320,094)
Citation 10

Abstract:

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Monetary Policy, RBA, Futures Markets, Interest Rate Futures

19.

Trading Behaviour in Closely Related Markets for S&P 500 Index Futures

Review of Financial Economics, Forthcoming
Number of pages: 27 Posted: 11 Jul 2013 Last Revised: 09 Jan 2016
Lee A. Smales
University of Western Australia
Downloads 64 (340,879)

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Investor behaviour, index futures, S&P 500

20.

Spreading the Fear: The Central Role of CBOE VIX in Global Stock Market Uncertainty

Number of pages: 29 Posted: 10 Mar 2019
Lee A. Smales
University of Western Australia
Downloads 60 (352,074)

Abstract:

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Market uncertainty, Investor fear, Implied volatility, VIX, Linkages

21.

Commodity Market Volatility in the Presence of U.S. and Chinese Macroeconomic News

Number of pages: 21 Posted: 28 Nov 2016
Lee A. Smales
University of Western Australia
Downloads 54 (370,438)

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Commodity Markets, Macroeconomic Announcements, Volatility, China, GSCI, CRB

22.

Does More Complex Language in FOMC Decisions Impact Financial Markets?

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 31 Posted: 01 Feb 2016
Lee A. Smales and Nicholas Apergis
University of Western Australia and University of Piraeus
Downloads 50 (383,263)

Abstract:

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Monetary policy decisions, Financial markets, Federal Reserve, Linguistic complexity, FOMC statements

23.

How Does Investor Sentiment Shape the Liquidity Response to Monetary Policy Announcements in Precious Metal Markets?

Number of pages: 31 Posted: 04 Aug 2017 Last Revised: 10 Jan 2018
Lee A. Smales and Brian M. Lucey
University of Western Australia and Trinity Business School, Trinity College Dublin
Downloads 48 (390,105)

Abstract:

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Monetary Policy Decisions, Liquidity, Investor Sentiment, Gold, Silver

24.

Slopes, Spreads, and Depth: Monetary Policy Announcements and Liquidity Provision in the Energy Futures Market

Number of pages: 29 Posted: 01 Nov 2016
Lee A. Smales
University of Western Australia
Downloads 46 (396,956)

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Energy markets, Crude oil futures, WTI, Monetary policy decisions, Liquidity

25.

Better the Devil You Know: The Influence of Political Incumbency on Australian Financial Market Uncertainty

Research in International Business and Finance, 2015, Vol. 33, Page. 59-74
Number of pages: 22 Posted: 19 Mar 2013 Last Revised: 08 Jan 2015
Lee A. Smales
University of Western Australia
Downloads 43 (407,768)
Citation 2

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Political uncertainty, Financial market uncertainty, Implied volatility, Exchange traded options, Stock markets, Australian federal election

26.

The Influence of FOMC Member Characteristics on the Monetary Policy Decision-Making Process

Journal of Banking and Finance, Forthcoming
Number of pages: 34 Posted: 11 Aug 2015 Last Revised: 09 Jan 2016
Nick Apergi and Lee A. Smales
Curtin University and University of Western Australia
Downloads 35 (439,118)
Citation 5

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Monetary policy committees, characteristics of committee members, monetary policy rules, FOMC, Federal funds

27.

Order Aggressiveness of Different Broker-Types in Response to Monetary Policy News

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 27 Posted: 16 Mar 2015 Last Revised: 13 Jan 2016
Lee A. Smales
University of Western Australia
Downloads 33 (447,459)

Abstract:

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Order aggressiveness, Limit order book, Institutional brokers, Retail brokers, Monetary policy news, Reserve Bank of Australia

28.

A Note on the Relationship between Financial Asset Returns and Well-Being

Applied Economics Letters, Forthcoming
Number of pages: 10 Posted: 19 Feb 2013 Last Revised: 21 Jun 2014
Lee A. Smales
University of Western Australia
Downloads 22 (503,380)

Abstract:

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well-being, asset returns, SP500, asymmetric response, Well-Being Index

29.

The Effect of Treasury Auctions on 10-Year Treasury Note Futures

Number of pages: 30 Posted: 26 Jan 2019
Lee A. Smales
University of Western Australia
Downloads 21 (509,159)

Abstract:

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Treasury Auctions, Futures Markets, Trading, Volatility, 10-Year Note

30.

Transitory Fear: Explaining Changes in the VIX Futures Basis

Number of pages: 11 Posted: 13 Jun 2019
Lee A. Smales
University of Western Australia
Downloads 17 (532,230)

Abstract:

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VIX, Investor Fear, Futures, News Sentiment

31.

Macroeconomic News and Treasury Futures Return Volatility: Do Treasury Auctions Matter?

Number of pages: 44 Posted: 18 Apr 2019
Lee A. Smales
University of Western Australia
Downloads 16 (537,893)

Abstract:

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Macroeconomic News, Treasury Auctions, Futures Markets, Volatility, Market Efficiency

32.

Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

Number of pages: 23 Posted: 05 Jul 2019
Lee A. Smales
University of Western Australia
Downloads 13 (555,697)

Abstract:

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Volatility, Geopolitical risk, Crude Oil, Stock Market, Spillover, GARCH

33.

The Validity of Investor Sentiment Proxies

International Review of Finance, Vol. 17, Issue 3, pp. 473-477, 2017
Number of pages: 5 Posted: 06 Sep 2017
Curtin University - Centre for Research in Applied Economics, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking, Curtin University - School of Economics and Finance and University of Western Australia
Downloads 0 (661,222)
Citation 1
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34.

'Brexit': A Case Study in the Relationship between Political and Financial Market Uncertainty

International Review of Finance, Vol. 17, Issue 3, pp. 451-459, 2017
Number of pages: 9 Posted: 06 Sep 2017
Lee A. Smales
University of Western Australia
Downloads 0 (661,222)
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35.

The Role of Political Uncertainty in Australian Financial Markets

Accounting & Finance, Vol. 56, Issue 2, pp. 545-575, 2016
Number of pages: 31 Posted: 03 Jun 2016
Lee A. Smales
University of Western Australia
Downloads 0 (661,222)
Citation 1
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Political uncertainty, Investor sentiment, Implied volatility, Exchange‚Äźtraded options, Financial markets

36.

The Determinants of RBA Target Rate Decisions: A Choice Modelling Approach

Economic Record, Vol. 89, Issue 287, pp. 556-569, 2013
Number of pages: 14 Posted: 28 Nov 2013
Lee A. Smales
University of Western Australia
Downloads 0 (661,222)
Citation 1
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