Investor sentiment and futures market mispricing

被引：8
|
作者：
Ryu, Doojin [1 ]
Ryu, Doowon [2 ]
Yang, Heejin [3 ]
机构：
[1] Sungkyunkwan Univ, Dept Econ, Seoul, South Korea
[2] Kookmin Univ, Coll Gen Educ, Seoul, South Korea
[3] Dongguk Univ, Dept Global Econ & Commerce, WISE Campus, Seoul, Gyeongsangbug D, South Korea
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
基金：
新加坡国家研究基金会;
关键词：
Arbitrage; Index futures; Investor sentiment; Mispricing; VOLATILITY DYNAMICS; ORDER IMBALANCE;
D O I：
10.1016/j.frl.2023.104559
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the effects of sentiment on mispricing in a highly liquid index futures market. Investor sentiment significantly affects futures mispricing, supporting its role in explaining price dynamics. Overly optimistic sentiment induces futures market overvaluation whereas pessimistic sentiment loses its explanatory power in undervaluation after controlling for trading activities and macroeconomic factors. The sentiment effect is more pronounced when noisy individual trading prevails.
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页数：6
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