Investor sentiment and return predictability in agricultural futures markets

Changyun Wang

MPRA Paper from University Library of Munich, Germany

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 reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment-based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability.

Keywords: Investor sentiment; agricultural futures markets; return predictability (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2000-01, Revised 2002-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in Journal of Futures Markets 10.21(2002): pp. 929-952

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/36425/1/MPRA_paper_36425.pdf original version (application/pdf)

Related works:
Journal Article: Investor Sentiment and Return Predictability in Agricultural Futures Markets (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36425

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().