Investor Sentiment and Return Predictability in Agricultural Futures Markets

By Changyu Wang. 2001

167 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/19a9b93614c60cd0391c830472e570d03844f2d3

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Citations in the corpus

Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports (2004, background): “…issues including the flow of funds among trader groups (Hieronymus, 1971), the forecasting ability of traders (Hartzmark, 1991; Leuthold et al., 1994; Buchanan et al., 2001), and the existence of risk premia (Chatrath et al., 1997), and is used as a measure of investor sentiment (Wang, 2001, 2002).”
Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? (2013, background): “Focusing on other financial markets, Wang (2001, 2003) analyze the sentiment effect in the futures market, Han (2008), and Lemmon and Ni (2011) in the options market, Ahn et al. (2002) in the currency market and Burghardt et al. (2008) and Schmitz et al. (2009) in the warrants market.”
High Technology ETF Forecasting: Application of Grey Relational Analysis and Artificial Neural Networks (2013, background): “The studies of Neal and Wheatley (1998), Simon and Wiggins (2001), and Wang (2001) prove that sentiment can determine returns.”
Can economic policy uncertainty and investors sentiment predict commodities returns and volatility (2017, background): “Moreover, the sentiments of speculators and hedgers are valuable timing indicators in commodity markets, where, the speculator’s sentiment is seen as a price continuation indicator while the hedger’s sentiment helps in forecasting the future price movements (Wang, 2001).”