References
[1]. De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J.: Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4), 703–738 (1990).
[2]. Bijl, L., Kringhaug, G., Molnár, P., & Sandvik, E: Google searches and stock returns. International Review of Financial Analysis, 45, 150–156 (2016).
[3]. Chen, R., Bao, W., & Jin, C. Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. International Review of Economics & Finance, 75, 112–129 (2021).
[4]. Zhang, C.: Defining, Modeling, and Measuring Investor Sentiment, University of CA, Berkeley, Department of Economics, Berkeley, CA (2008).
[5]. DUMAS, B., KURSHEV, A., & UPPAL, R.: Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility. The Journal of Finance, 64(2), 579–629 (2009).
[6]. Joseph, K., Babajide Wintoki, M., & Zhang, Z: Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search. International Journal of Forecasting, 27(4), 1116–1127 (2011).
[7]. Aggarwal, D.: Defining and measuring market sentiments: a review of the literature. Qualitative Research in Financial Markets, 14(2), 270–288 (2019).
[8]. Simon, D. P., & Wiggins, R. A.: S&P futures returns and contrary sentiment indicators. Journal of Futures Markets, 21(5), 447–462 (2001).
[9]. Giot, P.: Relationships Between Implied Volatility Indexes and Stock Index Returns. The Journal of Portfolio Management, 31(3), 92–100 (2005).
[10]. Da, Z., Engelberg, J., & Gao, P.: The Sum of All FEARS Investor Sentiment and Asset Prices. Review of Financial Studies, 28(1), 1–32 (2014).
[11]. Renault, T.: Intraday online investor sentiment and return patterns in the U.S. stock market. Journal of Banking & Finance, 84, 25–40 (2017).
[12]. Fang, J., Gozgor, G., Lau, C. K. M., & Lu, Z.: The impact of Baidu Index sentiment on the volatility of China’s stock markets. Finance Research Letters, 32, 101099 (2020).
[13]. Liang, C., Tang, L., Li, Y., & Wei, Y.: Which sentiment index is more informative to forecast stock market volatility? Evidence from China. International Review of Financial Analysis, 71, 101552 (2020).
[14]. Lee, W. Y., Jiang, C. X., & Indro, D. C.: Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance, 26(12), 2277–2299 (2002).
[15]. Qiu, L. X., & Welch, I.: Investor Sentiment Measures. SSRN Electronic Journal. (2006).
[16]. Schmeling, M.: Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394–408 (2009).
[17]. Wang, C.: Investor sentiment, market timing, and futures returns. Applied Financial Economics, 13(12), 891–898 (2003).
[18]. Jing, N., Wu, Z., & Wang, H.: A hybrid model integrating deep learning with investor sentiment analysis for stock price prediction. Expert Systems With Applications, 178, 115019 (2021).
[19]. Wang, C.: Investor Sentiment and Return Predictability in Agricultural Futures Markets. Journal of Futures Markets, 21(10), 929–952 (2001).
[20]. Akyildirim, E., Cepni, O., Pham, L., & Uddin, G. S.: How connected is the agricultural commodity market to the news-based investor sentiment? Energy Economics, 113, 106174 (2022).
[21]. Smales, L., & Lucey, B.: The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets. Journal of International Financial Markets, Institutions and Money, 60, 19–38 (2019).
[22]. Wang, L., Ma, F., Niu, T., & Liang, C.: The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. Energy Economics, 99, 105319 (2021).
[23]. Smales, L.: The importance of fear: investor sentiment and stock market returns. Applied Economics, 49(34), 3395–3421 (2017).
[24]. Song, Y., Ji, Q., Du, Y. J., & Geng, J. B.: The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets. Energy Economics, 84, 104564 (2019).
[25]. Hou, Y. G., & Li, S.: Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. International Review of Economics & Finance, 66, 166–188 (2020).
[26]. Hou, Y., & Li, S.: Volatility behaviour of stock index futures in China: a bivariate GARCH approach. Studies in Economics and Finance, 32(1), 128–154 (2015).
Cite this article
Tang,S. (2023). Investor Sentiment in Stocks and Futures Markets. Advances in Economics, Management and Political Sciences,41,49-54.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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References
[1]. De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J.: Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4), 703–738 (1990).
[2]. Bijl, L., Kringhaug, G., Molnár, P., & Sandvik, E: Google searches and stock returns. International Review of Financial Analysis, 45, 150–156 (2016).
[3]. Chen, R., Bao, W., & Jin, C. Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. International Review of Economics & Finance, 75, 112–129 (2021).
[4]. Zhang, C.: Defining, Modeling, and Measuring Investor Sentiment, University of CA, Berkeley, Department of Economics, Berkeley, CA (2008).
[5]. DUMAS, B., KURSHEV, A., & UPPAL, R.: Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility. The Journal of Finance, 64(2), 579–629 (2009).
[6]. Joseph, K., Babajide Wintoki, M., & Zhang, Z: Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search. International Journal of Forecasting, 27(4), 1116–1127 (2011).
[7]. Aggarwal, D.: Defining and measuring market sentiments: a review of the literature. Qualitative Research in Financial Markets, 14(2), 270–288 (2019).
[8]. Simon, D. P., & Wiggins, R. A.: S&P futures returns and contrary sentiment indicators. Journal of Futures Markets, 21(5), 447–462 (2001).
[9]. Giot, P.: Relationships Between Implied Volatility Indexes and Stock Index Returns. The Journal of Portfolio Management, 31(3), 92–100 (2005).
[10]. Da, Z., Engelberg, J., & Gao, P.: The Sum of All FEARS Investor Sentiment and Asset Prices. Review of Financial Studies, 28(1), 1–32 (2014).
[11]. Renault, T.: Intraday online investor sentiment and return patterns in the U.S. stock market. Journal of Banking & Finance, 84, 25–40 (2017).
[12]. Fang, J., Gozgor, G., Lau, C. K. M., & Lu, Z.: The impact of Baidu Index sentiment on the volatility of China’s stock markets. Finance Research Letters, 32, 101099 (2020).
[13]. Liang, C., Tang, L., Li, Y., & Wei, Y.: Which sentiment index is more informative to forecast stock market volatility? Evidence from China. International Review of Financial Analysis, 71, 101552 (2020).
[14]. Lee, W. Y., Jiang, C. X., & Indro, D. C.: Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance, 26(12), 2277–2299 (2002).
[15]. Qiu, L. X., & Welch, I.: Investor Sentiment Measures. SSRN Electronic Journal. (2006).
[16]. Schmeling, M.: Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394–408 (2009).
[17]. Wang, C.: Investor sentiment, market timing, and futures returns. Applied Financial Economics, 13(12), 891–898 (2003).
[18]. Jing, N., Wu, Z., & Wang, H.: A hybrid model integrating deep learning with investor sentiment analysis for stock price prediction. Expert Systems With Applications, 178, 115019 (2021).
[19]. Wang, C.: Investor Sentiment and Return Predictability in Agricultural Futures Markets. Journal of Futures Markets, 21(10), 929–952 (2001).
[20]. Akyildirim, E., Cepni, O., Pham, L., & Uddin, G. S.: How connected is the agricultural commodity market to the news-based investor sentiment? Energy Economics, 113, 106174 (2022).
[21]. Smales, L., & Lucey, B.: The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets. Journal of International Financial Markets, Institutions and Money, 60, 19–38 (2019).
[22]. Wang, L., Ma, F., Niu, T., & Liang, C.: The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. Energy Economics, 99, 105319 (2021).
[23]. Smales, L.: The importance of fear: investor sentiment and stock market returns. Applied Economics, 49(34), 3395–3421 (2017).
[24]. Song, Y., Ji, Q., Du, Y. J., & Geng, J. B.: The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets. Energy Economics, 84, 104564 (2019).
[25]. Hou, Y. G., & Li, S.: Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. International Review of Economics & Finance, 66, 166–188 (2020).
[26]. Hou, Y., & Li, S.: Volatility behaviour of stock index futures in China: a bivariate GARCH approach. Studies in Economics and Finance, 32(1), 128–154 (2015).