Forecasting stock index futures returns with mixed-frequency sentiment

Bin Gao and Chunpeng Yang

International Review of Economics & Finance, 2017, vol. 49, issue C, 69-83

Abstract: Using the data in Chinese financial market, mixed-frequency stock index futures sentiment and mixed-frequency stock index sentiment are constructed according to MIDAS model. We test whether mixed-frequency stock index futures sentiment and mixed-frequency stock index sentiment have predictive power on stock index futures returns. The empirical results show that mixed-frequency stock index futures sentiment factors have more predictive power than mixed-frequency stock index sentiment factors and Fama-French three factors. In out-sample forecast, we show that sentiment trading strategy provides a more positive returns than time series momentum trading strategy and passive long positions.

Keywords: Stock index futures sentiment; Stock index sentiment; Mixed-frequency; MIDAS model (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:49:y:2017:i:c:p:69-83

DOI: 10.1016/j.iref.2017.01.020

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