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dc.contributor.authorSmales, Lee
dc.date.accessioned2017-01-30T13:12:25Z
dc.date.available2017-01-30T13:12:25Z
dc.date.created2016-02-28T19:30:32Z
dc.date.issued2016
dc.identifier.citationSmales, L. 2016. Trading behavior in S&P 500 index futures. Review of Financial Economics. 28: pp. 46-55.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/29362
dc.identifier.doi10.1016/j.rfe.2015.11.001
dc.description.abstract

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.

dc.titleTrading behavior in S&P 500 index futures
dc.typeJournal Article
dcterms.source.issn1058-3300
dcterms.source.titleReview of Financial Economics
curtin.departmentDepartment of Finance and Banking
curtin.accessStatusOpen access


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