𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets

✍ Scribed by Alexander Kurov


Book ID
109178255
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
532 KB
Volume
43
Category
Article
ISSN
0732-8516

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Investor Sentiment and Return Predictabi
✍ Changyun Wang πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 143 KB

## Abstract This study examines the usefulness of trader‐position‐based sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price revers

Futures trading, spot market volatility,
✍ Bae, Sung C. (author);Kwon, Taek Ho (author);Park, Jong Won (author) πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 182 KB πŸ‘ 2 views

## Abstract We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sampl

Trading activity in stock index futures
✍ Yu Chuan Huang πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 160 KB

## Abstract This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX‐DT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which

Tick size reduction, execution costs, an
✍ Alexander Kurov πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 161 KB πŸ‘ 1 views

## Abstract On April 2, 2006, the Chicago Mercantile Exchange reduced the minimum tick size of the floor‐traded and E‐mini Nasdaq‐100 futures from 0.5 to 0.25 index points. This study examines the effect of this change in the contract design on execution costs, informational efficiency, and price d