Investor sentiment, market timing, and futures returns
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 13 (2003)
Issue (Month): 12 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:891-898. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.