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The Effect Of Investor Sentiment On Futures Market Returns And Volatility, Kenneth Steven Lovell

Theses and Dissertations - UTB/UTPA

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 …