Investor Trading Behavior and Sentiment in Futures Markets

被引：33

作者：

Gao, Bin ^{[1
,2
]}

Yang, Chunpeng ^{[3
]}

机构：

[1] Guangxi Univ Nationalities, Sch Business, Nanning, Peoples R China

[2] South China Univ Technol, Sch Business Adm, Guangzhou, Guangdong, Peoples R China

[3] South China Univ Technol, Sch Econ & Commerce, Financial & Secur Res Ctr, Guangzhou 510640, Guangdong, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2018年 / 54卷 / 03期

关键词：

futures investor trading behavior; futures market sentiment; spot investor trading behavior; spot market sentiment; stock index futures returns; RETURN COMOVEMENTS; ORDER IMBALANCE; STOCK RETURNS; ASSET PRICES; LIQUIDITY;

D O I：

10.1080/1540496X.2016.1262760

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：707 / 720

页数：14

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