Trading behavior in S&P 500 index futures
MetadataShow full item record
This article examines the determinants of trading decisions and the performance of trader types, in the context of the E-Mini S&P 500 futures and S&P 500 futures markets. Speculators and small traders tend to follow positive feedback strategies while hedgers dynamically adjust positions in response to market returns. Such strategies apparently reverse during the 2008-09 financial crisis. Investor sentiment and market volatility play an important role in determining the net trading position of traders across the sample period. While all trader types are better at foreseeing market upturns, an out-of-sample test suggests that speculators and small traders have some predictive ability for short-term market returns.
Showing items related by title, author, creator and subject.
Saili, Abdul Rahman (2011)Farmers‟ markets are an exciting and important form of free enterprise. They have a strong potential to support sustainable development due to the myriad of economic and social benefits they could bring to a society. ...
Sharp, Timothy (2013)Purpose: This chapter examines the interactions among wholesale betel nut traders within Papua New Guinea's (PNG's) flourishing, contemporary, and indigenous betel nut trade. It explores the nature of the "social embeddedness" ...
Rahman, A.; Chowdhury, H.; Sadique, Shibley (2015)We investigate herding in the Saudi stock market, where more than 95% of the total trading is initiatedby the individual investors. Based on readily available stock data, we find evidence of pervasive herdingamong the ...