Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market

Chen Chen, Hsiu-Chuan Lee and Tzu-Hsiang Liao

The North American Journal of Economics and Finance, 2016, vol. 35, issue C, 203-225

Abstract: This paper investigates the effect of index risk-neutral skewness on subsequent market returns and explores whether this effect will vary with various types of institutional investor sentiment in the futures market. Using index futures returns as the proxy of market returns, the empirical results show that the index risk-neutral skewness has a significantly negative effect on subsequent index futures returns. Moreover, the effect of institutional investor sentiment on subsequent index futures returns varies with various types of institutional investor sentiment. Finally, the effect of index risk-neutral skewness on subsequent index futures returns relies on various types of institutional investor sentiment.

Keywords: Index risk-neutral skewness; Index futures returns; Institutional investor sentiment (search for similar items in EconPapers)
JEL-codes: G10 G11 G13 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:35:y:2016:i:c:p:203-225

DOI: 10.1016/j.najef.2015.10.010

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