Relationships between Investor Sentiments and Futures Returns under Bear and Bull Markets

• Main Authors: Chuang-Sheng Chang, 張傳盛
• Other Authors: Chiao-Yi Chang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/76708659115100570192

碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === This article aims to investigate the relationship between market investor sentiments and futures intradaily returns under bear and bull markets. We differentiate bear and bull markets based on Fabozzi and Francis(1977), analyzing whether the spot market return, futures trading volume and open interest, put-call ratio of volume, put-call ratio of open interest ,and VIX affect Taiwan futures returns. We found there are positive relationships between the spot market return, futures trading volume and open interest, put-call ratio of open interest and futures returns. In addition, put-call ratio of volume and VIX are negatively related with futures returns. Besides, all variables are contrarian indicators to futures returns except the spot market return and futures trading volume. Taking market factors into account, put-call ratio of open interest becomes inversely related to futures returns, and transfers to simultaneous indicator. However, during extreme market condition, the put-call ratio of volume is not significantly influenced with futures returns. The findings suggest that indeed investor sentiment plays an important role in Taiwan futures market regardless of different market conditions.