Lee A. Smales

University of Western Australia

Associate Professor

UWA Business School

35 Stirling Highway

Perth, Western Australia 6009

Australia

SCHOLARLY PAPERS

39

DOWNLOADS
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SSRN RANKINGS

Top 11,537

in Total Papers Downloads

4,256

SSRN CITATIONS
Rank 20,735

SSRN RANKINGS

Top 20,735

in Total Papers Citations

27

CROSSREF CITATIONS

12

Scholarly Papers (39)

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 563 (49,811)

Abstract:

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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 466 (63,163)
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 447 (66,394)

Abstract:

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

4.

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 314 (99,973)
Citation 6

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

5.

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 279 (113,613)
Citation 6

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News sentiment, Gold futures, Trading Behaviour, Market positioning

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 179 (174,808)
Citation 2

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 149 (204,414)
Citation 1

Abstract:

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

8.

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 142 (212,655)
Citation 2

Abstract:

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Bitcoin, Safe Haven, Gold, Cryptofinance, Cryptocurrency

9.

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 134 (222,805)
Citation 3

Abstract:

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News Sentiment, LIBOR, CDS, Credit Risk, TRNA

10.

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 129 (229,412)
Citation 5

Abstract:

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

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 113 (253,036)

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 112 (254,645)

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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 90 (294,863)

Abstract:

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

14.

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 87 (301,229)

Abstract:

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

15.

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 (307,837)

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 83 (312,916)
Citation 1

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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17.

Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

Number of pages: 29 Posted: 05 Jul 2019 Last Revised: 25 Aug 2019
Lee A. Smales
University of Western Australia
Downloads 78 (321,722)

Abstract:

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

18.

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 77 (324,114)
Citation 2

Abstract:

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

19.

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 75 (329,119)
Citation 2

Abstract:

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

20.

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 74 (331,665)
Citation 6

Abstract:

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Monetary Policy, RBA, Futures Markets, Interest Rate Futures

21.

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 67 (350,220)

Abstract:

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Investor behaviour, index futures, S&P 500

22.

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 58 (376,675)

Abstract:

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

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 57 (379,946)

Abstract:

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

24.

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 54 (389,733)
Citation 3

Abstract:

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

25.

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 50 (403,176)
Citation 1

Abstract:

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

26.

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 45 (421,298)

Abstract:

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

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 36 (457,711)

Abstract:

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

28.

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 35 (461,997)

Abstract:

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

29.

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 (461,997)

Abstract:

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

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 31 (480,582)

Abstract:

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VIX, Investor Fear, Futures, News Sentiment

31.

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 31 (480,582)

Abstract:

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

32.

One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

Number of pages: 8 Posted: 04 Sep 2019 Last Revised: 19 Nov 2019
Lee A. Smales
University of Western Australia
Downloads 30 (485,552)

Abstract:

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Cryptocurrency, Bitcoin, Principal Component Analysis, Time-Varying

33.

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 (529,985)

Abstract:

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

34.

Oil Prices and Clean Energy Stock Prices – A Replication and Extension

Number of pages: 32 Posted: 28 Oct 2019
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 14 (579,205)

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renewable energy, oil prices, correlations, spillovers, replication

35.

How Does Policy Uncertainty Influence Financial Market Uncertainty Across the G7?

Number of pages: 24 Posted: 31 Jul 2019 Last Revised: 17 Aug 2019
Lee A. Smales
University of Western Australia
Downloads 14 (579,205)

Abstract:

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economic policy uncertainty, financial market uncertainty, implied volatility, EPU, VIX

36.

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 2 (663,721)
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Political uncertainty, Investor sentiment, Implied volatility, Exchange‐traded options, Financial markets

37.

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 (692,841)
Citation 1
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38.

'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 (692,841)
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39.

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 (692,841)
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Other Papers (1)

Total Downloads: 2
1.

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

Number of pages: 30 Posted: 03 Aug 2017
Lee A. Smales and Brian M. Lucey
University of Western Australia and Trinity Business School, Trinity College Dublin
Downloads 2

Abstract:

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Monetary policy decisions, Liquidity, Investor Sentiment, Gold, Silver