Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market |
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| Institution: | 1. Department of Applied Economics, Fo Guang University, Yilan, Taiwan;2. Department of Economics, Feng Chia University, Taichung, Taiwan;3. Department of Leisure Management, Tungnan University, Taipei, Taiwan;1. Department of Mathematics and Research Institute of Natural Science, Gyeongsang National University, Jinju 660-701, Republic of Korea;2. Department of Mathematics and Statistics, York University, 4700 Keele St., Toronto, ON, Canada;1. Division of Finance, College of Management, Innovation Center for Big Data and Digital Convergence, Yuan Ze University, Taiwan;2. Division of Finance, College of Management, Yuan Ze University, Taiwan;3. Department and Graduate Institute of Finance, Feng Chia University, Taiwan;1. School of Economics and Commerce, South China University of Technology, Guangzhou, China;2. School of Economics, Shenzhen Polytechnic, Shenzhen, China;1. Department of Banking and Finance, National Chi Nan University, Taiwan, ROC;2. Department of Marketing Management, Takming University of Science and Technology, Taiwan, ROC;1. Department of Banking & Finance, Tamkang University, Taiwan;2. Graduate Institute of Management, National Taiwan Normal University, Taiwan;3. Taiwan Futures Exchange, Taiwan;4. Academy of Financial Research, Zhejiang University, China |
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| Abstract: | This paper investigates the effect of index risk-neutral skewness on subsequent market returns and explores whether this effect will vary with various types of institutional investor sentiment in the futures market. Using index futures returns as the proxy of market returns, the empirical results show that the index risk-neutral skewness has a significantly negative effect on subsequent index futures returns. Moreover, the effect of institutional investor sentiment on subsequent index futures returns varies with various types of institutional investor sentiment. Finally, the effect of index risk-neutral skewness on subsequent index futures returns relies on various types of institutional investor sentiment. |
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| Keywords: | Index risk-neutral skewness Index futures returns Institutional investor sentiment |
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