Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
973993 | The North American Journal of Economics and Finance | 2016 | 23 Pages |
Abstract
This paper investigates the effect of index risk-neutral skewness on subsequent market returns and explores whether this effect will vary with various types of institutional investor sentiment in the futures market. Using index futures returns as the proxy of market returns, the empirical results show that the index risk-neutral skewness has a significantly negative effect on subsequent index futures returns. Moreover, the effect of institutional investor sentiment on subsequent index futures returns varies with various types of institutional investor sentiment. Finally, the effect of index risk-neutral skewness on subsequent index futures returns relies on various types of institutional investor sentiment.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chen Chen, Hsiu-Chuan Lee, Tzu-Hsiang Liao,