Year: 2015
Author: Chen, Hsiu-Lang
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 2 : pp. 171–206
Abstract
This study shows how the investor sentiment in the stock market affects prices of commodity exchange-traded funds (ETFs). The study provides quantitative evidence that the tracking errors of commodity ETFs differ in the bullish versus the bearish stock market, and the aggregate tracking error of commodity ETFs is sensitive to the well-known sentiment measures. The study exploits a profitable trading strategy based on investor sentiment in the stock market and commodity market. The sentiment-driven demand for commodity ETFs could exist even after consideration of trading costs, and it is a short-term phenomenon. This unique evidence indicates investor sentiment affects asset valuation across markets.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.48.2.171
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 2 : pp. 171–206
Published online: 2015-06
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 36
Keywords: G10 G23 Investor Sentiment Tracking Errors Commodity ETFs
Author Details
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| Section Title | Page | Action | Price |
|---|---|---|---|
| Hsiu-Lang Chen: Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds | 1 |