Investor Sentiment, Market Timing and Futures Returns by Changyun Wang

Investor Sentiment, Market Timing and Futures Returns by Changyun Wang

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This study examines whether the sentiment index based on the operator’s real position is useful for predicting the futures market returns of the S&P 500 index. The results show that the great speculative sentiment is an indicator of price continuation, while the Great coverage sentiment is a contrary indicator. Small-trader sentiment hardly predicts future market movements.

Furthermore, the sentiments of the great extreme traders and the combination of the sentiments of the great extreme traders tend to provide more reliable forecasts. These findings suggest that large speculators have superior synchronization capabilities on the market.

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