Investor Trading Behavior and Sentiment in Futures Markets |
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| Authors: | Bin Gao |
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| Affiliation: | 1. School of Business, Guangxi University for Nationalities, Nanning, China;2. School of Business Administration, South China University of Technology, Guangzhou, China |
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| Abstract: | This study investigates the effects of investor trading behavior and investor sentiment on futures market return. We find that the spot investor trading behavior, futures investor trading behavior, spot market sentiment, and futures market sentiment all have positive effects on daily futures returns in Chinese financial market. More importantly, we show that the effect of (spot) futures investor trading behavior has better explanatory power than (spot) futures market sentiment on futures returns. Further supporting our results, high investor trading behavior and high investor sentiment strengthen the positive relation between sentiment-returns and behavior-returns. |
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| Keywords: | futures investor trading behavior futures market sentiment spot investor trading behavior spot market sentiment stock index futures returns |
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