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.
引用
收藏
页数：6
相关论文
共 50 条
  • [31] Forecasting the Market Returns And Portfolio Enhancement With Frequency-Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market
    Wang, Yi-Hsien
    Chang, Shu-Lien
    Lee, Hsiu-Chuan
    Lien, Donald
    JOURNAL OF FUTURES MARKETS, 2025,
  • [32] An optimal binary predictor for an investor in a futures market
    Rudolph, DW
    COMPUTATIONAL FINANCE 1999, 2000, : 417 - 432
  • [33] Investor Sentiment with Information Shock in the Stock Market
    Yang, Chunpeng
    Wu, Huihui
    EMERGING MARKETS FINANCE AND TRADE, 2021, 57 (02) : 510 - 524
  • [34] Investor Sentiment in an Artificial Limit Order Market
    Wei, Lijian
    Shi, Lei
    COMPLEXITY, 2020, 2020
  • [35] Momentum Strategies and Investor Sentiment in the REIT Market
    Hao, Ying
    Chu, Hsiang-Hui
    Ko, Kuan-Cheng
    Lin, Lin
    INTERNATIONAL REVIEW OF FINANCE, 2016, 16 (01) : 41 - 71
  • [36] Research on Investor Sentiment in the IPO Stock Market
    Liu, Ziyu
    Yang, Han
    Zhang, Weidi
    Hu, Xiaoli
    PROCEEDINGS OF THE 2016 2ND INTERNATIONAL CONFERENCE ON ECONOMICS, MANAGEMENT ENGINEERING AND EDUCATION TECHNOLOGY (ICEMEET 2016), 2016, 87 : 484 - 489
  • [37] Investor sentiment and stock market return in China
    Wang Zhaohui
    MODERN FINANCE AND GLOBAL TRADING COOPERATION: PROCEEDINGS OF THE 5TH INTERNATIONAL ANNUAL CONFERENCE ON WTO AND FINANCIAL ENGINEERING, 2008, : 576 - 582
  • [38] INVESTOR SENTIMENT INDEX IN THE BRAZILIAN STOCK MARKET
    Braga Nogueira, Bruna Thaisa
    Avelino, Bruna Camargos
    Vasconcelos Colares, Ana Carolina
    Assis dos Reis, Daniel Eustaquio
    REVISTA CONTABILIDADE E CONTROLADORIA-RC C, 2020, 12 (03): : 46 - 71
  • [39] Overreaction to extreme market events and investor sentiment
    Piccoli, Pedro
    Chaudhury, Mo
    APPLIED ECONOMICS LETTERS, 2018, 25 (02) : 115 - 118
  • [40] The impact of investor sentiment on the German stock market
    Philipp Finter
    Alexandra Niessen-Ruenzi
    Stefan Ruenzi
    Zeitschrift für Betriebswirtschaft, 2012, 82 (2): : 133 - 163
12345