Lee A. Smales

University of Western Australia

Associate Professor

UWA Business School

35 Stirling Highway

Perth, Western Australia 6009

Australia

SCHOLARLY PAPERS

44

DOWNLOADS
Rank 10,033

SSRN RANKINGS

Top 10,033

in Total Papers Downloads

5,794

SSRN CITATIONS
Rank 14,843

SSRN RANKINGS

Top 14,843

in Total Papers Citations

63

CROSSREF CITATIONS

14

Scholarly Papers (44)

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 629 (51,608)
Citation 2

Abstract:

Loading...

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 519 (65,718)
Citation 5

Abstract:

Loading...

Investor sentiment, Financial markets, VIX, Stock markets

3.

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 500 (69,084)
Citation 11

Abstract:

Loading...

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

4.

'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 466 (75,118)

Abstract:

Loading...

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

5.

Investor Attention and Global Market Returns during the COVID-19 Crisis

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 02 Jul 2020 Last Revised: 26 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 343 (107,063)
Citation 5

Abstract:

Loading...

Investor Attention, Stock Market Returns, Google Search Volume, COVID-19, Coronavirus

6.

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 307 (120,794)
Citation 7

Abstract:

Loading...

News sentiment, Gold futures, Trading Behaviour, Market positioning

7.

Investor Attention and the Response of US Stock Sectors to the COVID-19 Crisis

Review of Behavioral Finance, Vol. 13, Issue 1, 20-39
Number of pages: 23 Posted: 15 Jun 2020 Last Revised: 18 May 2021
Lee A. Smales
University of Western Australia
Downloads 213 (174,131)
Citation 2

Abstract:

Loading...

Investor Attention, Stock Market Returns, Google Search Volume, COVID-19, Coronavirus

8.

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

Finance Research Letters, Vol. 30, 2019
Number of pages: 21 Posted: 22 Jul 2018 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 212 (174,934)
Citation 13

Abstract:

Loading...

Bitcoin, Safe Haven, Gold, Cryptofinance, Cryptocurrency

9.

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 195 (189,000)
Citation 3

Abstract:

Loading...

VIX, Investor Fear, Financial Markets, Financial Crisis

10.

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 167 (216,327)
Citation 2

Abstract:

Loading...

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

11.

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 146 (242,003)
Citation 2

Abstract:

Loading...

News Sentiment, LIBOR, CDS, Credit Risk, TRNA

12.

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 138 (253,294)
Citation 2

Abstract:

Loading...

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

13.

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

Number of pages: 33 Posted: 10 Mar 2019 Last Revised: 29 Mar 2021
Lee A. Smales
University of Western Australia
Downloads 138 (254,725)
Citation 1

Abstract:

Loading...

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

14.

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 137 (254,725)
Citation 7

Abstract:

Loading...

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

15.

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

Journal of Financial Education, Vol. 45, No. 2, 2019
Number of pages: 36 Posted: 24 May 2018 Last Revised: 27 Oct 2020
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 134 (259,148)

Abstract:

Loading...

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

16.

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 120 (281,298)

Abstract:

Loading...

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

17.

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

Economic Papers, Vol.39, No. 2, 118-132
Number of pages: 8 Posted: 04 Sep 2019 Last Revised: 26 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 109 (300,969)

Abstract:

Loading...

Cryptocurrency, Bitcoin, Principal Component Analysis, Time-Varying

18.

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 97 (325,315)

Abstract:

Loading...

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

19.

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 94 (331,920)

Abstract:

Loading...

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

20.

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 91 (338,754)

Abstract:

Loading...

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

21.

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 86 (350,771)
Citation 3

Abstract:

Loading...

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

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 84 (359,074)
Citation 1

Abstract:

Loading...

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 2
  • Add to Cart

Abstract:

Loading...

23.

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 76 (377,240)
Citation 10

Abstract:

Loading...

Monetary Policy, RBA, Futures Markets, Interest Rate Futures

24.

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

Journal of International Financial Markets, Institutions and Money, Vol. 60, 2019
Number of pages: 31 Posted: 04 Aug 2017 Last Revised: 27 Oct 2020
Lee A. Smales and Brian M. Lucey
University of Western Australia and Trinity Business School, Trinity College Dublin
Downloads 72 (388,754)

Abstract:

Loading...

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

25.

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 70 (394,766)

Abstract:

Loading...

Investor behaviour, index futures, S&P 500

26.

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

Global Finance Journal, Forthcoming
Number of pages: 44 Posted: 18 Apr 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 66 (407,349)

Abstract:

Loading...

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

27.

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

Journal of Commodity Markets, Vol. 7, 2017
Number of pages: 21 Posted: 28 Nov 2016 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 65 (410,497)

Abstract:

Loading...

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

28.

Transitory Fear: Explaining Changes in the VIX Futures Basis

Journal of Investing, Vol. 29, No. 4, 2020
Number of pages: 11 Posted: 13 Jun 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 64 (413,811)

Abstract:

Loading...

VIX, Investor Fear, Futures, News Sentiment

29.

Does More Complex Language in FOMC Decisions Impact Financial Markets?

Asian Finance Association (AsianFA) 2016 Conference, Journal of International Financial Markets, Institutions and Money, Vol. 51, 2017
Number of pages: 31 Posted: 01 Feb 2016 Last Revised: 27 Oct 2020
Lee A. Smales and Nicholas Apergis
University of Western Australia and University of Piraeus
Downloads 60 (427,342)
Citation 1

Abstract:

Loading...

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

30.

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

International Review of Economics & Finance, Vol. 59, 2019
Number of pages: 29 Posted: 01 Nov 2016 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 55 (445,450)
Citation 1

Abstract:

Loading...

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

31.

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

Accounting & Finance, Forthcoming
Number of pages: 30 Posted: 26 Jan 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 51 (460,420)

Abstract:

Loading...

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

32.

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 47 (476,625)

Abstract:

Loading...

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

33.

Oil prices and Clean Energy Stock Prices Revisited

Number of pages: 35 Posted: 28 Oct 2019 Last Revised: 05 Mar 2020
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 38 (516,782)

Abstract:

Loading...

renewable energy, oil prices, correlations, spillovers, replication

34.

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 38 (516,782)

Abstract:

Loading...

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

35.

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 37 (521,571)
Citation 2

Abstract:

Loading...

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

36.

Policy Uncertainty in Australian Financial Markets

Australian Journal of Management, Forthcoming
Number of pages: 35 Posted: 05 Sep 2020 Last Revised: 29 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 36 (526,517)

Abstract:

Loading...

Economic Policy Uncertainty, Australian Financial Markets, Stock Markets, Bond Yields, Political uncertainty

37.

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

International Review of Financial Analysis, Vol. 71, 2020
Number of pages: 24 Posted: 31 Jul 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 28 (570,007)

Abstract:

Loading...

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

38.

The Influence of Policy Uncertainty on Exchange Rate Forecasting

Number of pages: 25 Posted: 16 Mar 2021
Lee A. Smales
University of Western Australia
Downloads 24 (595,308)

Abstract:

Loading...

Economic Policy Uncertainty, EPU, Analyst Forecasts, Foreign Exchange Market

39.

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 (608,650)

Abstract:

Loading...

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

40.

One Session Options: Playing the announcement lottery?

Number of pages: 29 Posted: 22 Mar 2021
University of Western Australia, The University of Western Australia Business School and affiliation not provided to SSRN
Downloads 18 (636,092)

Abstract:

Loading...

Lottery-like assets, One Session Options, Trading Volume, Trading Behaviour

41.

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 (759,388)
Citation 1
  • Add to Cart

Abstract:

Loading...

Political uncertainty, Investor sentiment, Implied volatility, Exchange‚Äźtraded options, Financial markets

42.

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 (787,952)
Citation 1
  • Add to Cart

Abstract:

Loading...

43.

'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 (787,952)
  • Add to Cart

Abstract:

Loading...

44.

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 (787,952)
  • Add to Cart

Abstract:

Loading...

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:

Loading...

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