How Useful is the Sentiment Index?

SoltMichael, E; StatmanMeir,

doi:10.2469/faj.v44.n5.45

Cited by 182 publications

(97 citation statements)

References 6 publications

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“…In order to see how sentiment and market returns interact and identify the (statistical) causality between sentiment and the market, we use a set of VAR models, 2 where Granger causality tests and impulse response functions are developed from.…”

Section: Vector Autoregressions Model (Var)mentioning

confidence: 99%

“…For example, suppose investor sentiment decreases from very bullish to bullish. One might anticipate a positive return due to the still bullish 2 Hedgers who are concerned about fundamental information tend to hold positions for longer horizons, whereas speculators likely adjust positions over shorter horizons in response to short-term information. In the survey most of the individual are speculators, which make it sound to test our hypothesis using VAR although with limit observations.…”

Section: Granger Causality Testsmentioning

confidence: 99%

“…Indirect（ Market-based） [1], direct (survey-based) [2][3][4] or integrated measures [5,6] of sentiment are popularly used in order to find out whether sentiment follow or precede the stock markets. Several studies have also examined the causality in the futures markets with similar measures and the conclusions are mixed.…”

Section: Introductionmentioning

confidence: 99%

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Investor Sentiment and Return Predictability in Chinese Fuel Oil Futures Markets

Qian

Wang

2007

Computational Science – ICCS 2007

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Abstract. We investigate the relation between investor sentiment and market returns in Chinese Fuel Oil Futures Markets by Vector Autoregressions（VAR）model. The sample period is from 5 September 2005 until 31 December 2006. Studies using daily datum on sentiments of professional advisors and individual investors suggest that past market returns are an important determinant of sentiment. Our evidence supports that not individual but professional sentiment has predictive power for returns. Extreme levels of sentiment do not possess any superiority in returns predictability with the exception of the individual bottom sentiment. For 1-week, 2-week and 4-week intervals, returns can weakly predict sentiment or changes. Individual sentiment severs as a contrary indicator of returns in the followed week, whereas we find no evidence for the other circumstance.

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Section: Vector Autoregressions Model (Var)mentioning

confidence: 99%

Section: Granger Causality Testsmentioning

confidence: 99%

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Investor Sentiment and Return Predictability in Chinese Fuel Oil Futures Markets

Qian

Wang

2007

Computational Science – ICCS 2007

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show abstract

“…Secondly, compared with the monthly or quarterly survey-based proxies (Solt and Statman, 1988;Fisher and Statman, 2000;Brown and Cliff, 2004 and Section 5.6 is the robustness and section 5.7 concludes.…”

Section: Introductionmentioning

confidence: 99%

“…Investors (Solt and Statman, 1988;Fisher and Statman, 2000;Lee et al, 2002;Cliff, 2004 and, Consumer Confidence by the Conference Board (CBIND) and Consumer Confidence by University of Michigan Survey Research…”

Section: Introductionmentioning

confidence: 99%