投资者情绪与市场动态：来自指数期货市场的证据

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2021-10-02 DOI:10.1080/10293523.2021.2010376

Heejin Yang

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引用次数: 3

摘要

摘要本研究提出了一种在决定韩国期货市场价格变化方面具有更大解释力的投资者情绪代理，并考察了投资者情绪对期货价格变化的影响。我们还考虑了投资者的交易行为如何影响投资者情绪和期货价格之间的联系。我们的实证结果表明，多变量方法适用于检验KOSPI200指数期货市场投资者情绪的解释力。投资者情绪显著影响期货价格的变化，表明其在期货价格动态中的重要作用。在正净头寸状态期间，期货市场情绪对期货价格变化的影响更大。此外，我们发现外国机构投资者的交易行为与期货价格的变化呈正相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Investor sentiment and market dynamics: Evidence from index futures markets

ABSTRACT This study presents an investor sentiment proxy with a greater explanatory power in determining price changes in the Korean futures market and examines the effect of investor sentiment on futures price changes. We also consider how investor-trading behaviour affects the association between investor sentiment and futures prices. Our empirical results demonstrate that the multiple-variable method is appropriate for examining the explanatory power of investor sentiment in the KOSPI200 index futures market. Investor sentiment significantly affects futures price changes, indicating its important role in futures price dynamics. Futures market sentiment has a greater effect on futures price changes during a positive net position state period. Furthermore, we find that foreign institutional investors’ trading behaviour is positively related to changes in futures prices.

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.