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Title: Investor sentiment, market timing, and futures returns
Authors: Wang, C. 
Issue Date: 2003
Citation: Wang, C. (2003). Investor sentiment, market timing, and futures returns. Applied Financial Economics 13 (12) : 871-878. ScholarBank@NUS Repository.
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
ISSN: 09603107
DOI: 10.1080/0960310032000129653
Appears in Collections:Staff Publications

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