Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/45198
Title: Investor sentiment and return predictability in agricultural futures markets
Authors: Wang, C. 
Issue Date: 2001
Source: Wang, C. (2001). Investor sentiment and return predictability in agricultural futures markets. Journal of Futures Markets 21 (10) : 929-952. ScholarBank@NUS Repository.
Abstract: This study examines the usefulness of trader-position-hased sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment-based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability. © 2001 John Wiley & Sons, Inc.
Source Title: Journal of Futures Markets
URI: http://scholarbank.nus.edu.sg/handle/10635/45198
ISSN: 02707314
Appears in Collections:Staff Publications

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