Theses and Dissertations - UTB/UTPA
Date of Award
8-2013
Document Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Business Administration
First Advisor
Dr. Teofilo Ozuna
Second Advisor
Dr. Alberto Davila
Third Advisor
Dr. Dave Jackson
Abstract
For over thirty years research has been done on investor sentiment and their effects on market returns and volatility. The theory of De Long et al., (1990) has been used to explain the effect of uninformed investor sentiment (also known as noise trader sentiment) on market returns and volatility. Studies of Wang (2003) and Sanders et al. (2003, 2009) in the futures market have found that uninformed investor sentiment does not affect future market returns, which is contrary to De Long et al. (1990). Also previous studies of investor sentiment in the futures market do not seem to investigate the effects of investor sentiment on volatility nor the asymmetric effects of investor sentiment on futures market returns and volatility. Most theories of investor sentiment on have implied that it is the irrational component of investor sentiment that causes the effects attributed to uninformed investor sentiment, however it seem that this has not been studied in the futures market. This dissertation has examined the following three areas. First, using survey data from futures market uninformed and institutional investors as a proxy for investor sentiment are used to examine the effects of investor sentiment on market returns and volatility in the futures market. Second, investor sentiment is examined whether it imparts symmetric or asymmetric effects on futures market returns and volatility. Third, the effects of rational and irrational investor sentiment on futures market returns and the causal relationship between rational and irrational sentiment are examined to determine their effects on returns, volatility and the causal nature of those effects. This dissertation finds that the theories of De Long et al. (1990) and Brown and Cliff (2005) hold in the futures market contrary to previous studies. That institutional and uninformed investor sentiment affects future market returns and volatility. Results show there are no asymmetric effects of investor sentiment on futures market returns and volatility contrary to theories of Daniel et al. (1998), Hong et al., (2000), and Gervais and Odean (2001). Also, contrary to results implied by theory in the futures market rational and irrational investor sentiment both affect volatility negatively.
Granting Institution
University of Texas-Pan American
Comments
Copyright 2013 Kenneth Steven Lovell. All Rights Reserved.
https://www.proquest.com/dissertations-theses/effect-investor-sentiment-on-futures-market/docview/1459433739/se-2