Please use this identifier to cite or link to this item: https://doi.org/10.1080/0960310032000129653
Title: Investor sentiment, market timing, and futures returns
Authors: Wang, C. 
Issue Date: 2003
Source: Wang, C. (2003). Investor sentiment, market timing, and futures returns. Applied Financial Economics 13 (12) : 871-878. ScholarBank@NUS Repository. https://doi.org/10.1080/0960310032000129653
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.
Source Title: Applied Financial Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/44498
ISSN: 09603107
DOI: 10.1080/0960310032000129653
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