Description
Investor Sentiment Market Timing and Futures Returns, Changyun Wang – Investor Sentiment Market Timing and Futures Returns, Investor Sentiment Market Timing and Futures Returns download, Changyun Wang – Investor Sentiment Market Timing and Futures Returns review, Investor Sentiment Market Timing and Futures Returns free torent
Changyun Wang – Investor Sentiment, Market Timing and Futures Returns
Abstract
This study examines whether actual trader position-based sentiment index is useful for predicting returns in the S&P 500 index futures market. The results show that large speculator sentiment is a price continuation indicator, whereas large hedger sentiment is a contrary indicator. Small trader sentiment hardly forecasts future market movements. Moreover, extreme large trader sentiments and the combination of extreme large trader sentiments tend to provide more reliable forecasts. These findings suggest that large speculators possess superior timing ability in the market.
