Investor Trading Behavior and Sentiment in Futures Markets

Bin Gao · Chunpeng Yang

56 citations0/0 files storedEmerging Markets Finance and Trade

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

This study investigates the effects of investor trading behavior and investor sentiment on futures market return. We find that the spot investor trading behavior, futures investor trading behavior, spot market sentiment, and futures market sentiment all have positive effects on daily futures returns in Chinese financial market. More importantly, we show that the effect of (spot) futures investor trading behavior has better explanatory power than (spot) futures market sentiment on futures returns. Further supporting our results, high investor trading behavior and high investor sentiment strengthen the positive relation between sentiment-returns and behavior-returns.

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References

2006Investor Sentiment and the Cross‐Section of Stock Returns 1991Inferring Trade Direction from Intraday Data 2011The short of it: Investor sentiment and anomalies 2006Retail Investor Sentiment and Return Comovements 2003Investor sentiment and the near-term stock market 1991Investor Sentiment and the Closed‐End Fund Puzzle 2004Market liquidity as a sentiment indicator 2005Investor Sentiment and Asset Valuation

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