Noise trader sentiment in futures markets

Models of Futures Markets

Volumn , Issue , 2013, Pages 86-116

  Sande, Dwight R ^a   Irwin, Scott H ^a  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 2942723185     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.4324/9780203714591-11     Document Type: Chapter

References (41)

1. Beja, A. and Goldman, M.B. (1980) ‘On the dynamic behavior of prices in disequilibrium’, Journal of Finance 34: 235-47.
2. Bessembinder, H. (1992) ‘Systematic risk, hedging pressure, and risk premiums in futures markets’, Review of Financial Studies 5: 637-67.
3. Beveridge, S. and Oickle, C. (1994) ‘A comparison of Box-Jenkins and objective methods for determining the order of a non-seasonal ARMA model’, Journal of Forecasting 13: 419-34.
4. Black, F. (1986) ‘Noise’, Journal of Finance 41: 529-43.
5. Canoles, B.W. (1994) ‘An Analysis of the Profiles, Motivations, and Modes of Habitual Commodity Speculators’, PhD dissertation, Illinois: Department of Agricultural Economics, University of Illinois.
6. Consensus: National Futures and Financial Weekly (1995) vol. 25, no. 7, February 17, Kansas City, MO: Consensus, Inc.
7. Cumby, R.E. and Modest, D.M. (1987) ‘Testing for market timing ability: a framework for forecast evaluation’, Journal of Financial Economics 19: 16989.
8. De Bondt, W.F.M. (1993) ‘Betting on trends: intuitive forecasts of financial risk and return’, International Journal of Forecasting 9: 355-71.
9. De Long, J.B., Shleifer, A., Summers, L.H. and Waldmann, R.J. (1989) ‘The size and incidence of the losses from noise trading’, Journal of Finance 44: 681-96.
10. De Long, J.B., Shleifer, A., Summers, L.H. and Waldmann, R.J. (1990a) ‘Noise trader risk in financial markets’, Journal of Political Economy 98: 703-38.
11. De Long, J.B., Shleifer, A., Summers, L.H. and Waldmann, R.J. (1990b) ‘Positive feedback investment strategies and destabilizing rational speculation’, Journal of Finance 45: 379-95.
12. De Long, J.B., Shleifer, A., Summers, L.H. and Waldmann, R.J. (1991) ‘The survival of noise traders in financial markets’, Journal of Business 64: 1-19.
13. Draper, D.W. (1985) ‘The small public trader in futures markets’, in Peck, A.E. (ed.) Futures Markets: Regulatory Issues, Washington, DC: American Enterprise Institute for Public Policy Research.
14. Elton, J. and Gruber, M.J. (1984) Modem Portfolio Theory and Investment Analysis, New York: Wiley.
15. Epstein, I. (1994) ‘Ira Epstein and Company Futures Market Report, 14 July 1994’, in Consensus: National Futures and Financial Weekly, vol. 24, no. 28: 34.
16. Fama, E. and MacBeth, J.D. (1973) ‘Risk, return and equilibrium: empirical tests’, Journal of Political Economy 81: 607-36.
17. Fisher, I. (1930) The Theory of Interest, New York: MacMillan.
18. France, V.G., Kodres, L., and Moser, J.T. (1994) ‘A review of regulatory mechanisms to control the volatility of prices’, in Federal Reserve Bank of Chicago’s Economic Perspectives, pp. 15-28.
19. Friedman, M. (1953) ‘The case for flexible exchange rates’, in Essays in Positive Economics, Chicago: University of Chicago Press, pp. 157-203.
20. Granger, C. (1969) ‘Investigating causal relations by econometric models and cross-spectral methods’, Econometrica 37: 24-36.
21. Greene, W.H. (1993) Econometric Analysis, New York: MacMillan.
22. Hamilton, J.D. (1994) Time Series Analysis. Princeton, NJ: Princeton University Press.
23. Harvey, A.C. (1991) The Econometric Analysis of Time Series, 2nd edn, Cambridge, MA: MIT Press.
24. Jones, J. (1989) ‘A comparison of lag-length selection techniques in tests of Granger causality between money growth and inflation: evidence for the US, 1959-86’, Applied Economics 24: 809-22.
25. Kaminsky, G. and Kumar, M. (1990) ‘Efficiency in commodity futures markets’, IMF Staff Papers 37: 670-99.
26. Keynes, J.M. (1936) The General Theory of Employment Interest and Money, New York: Harcourt, Brace and Co.
27. Kmenta, J. (1986) Elements of Econometrics, 2nd edn, New York: Macmillan.
28. Kodres, L.E. (1994) ‘The existence and impact of destabilizing positive feedback traders: evidence from the S and P 500 Index Futures Market’, working paper, Board of Governors of The Federal Reserve System.
29. Liu, S-M, Thompson, S. and Newbold, P. (1992) ‘Impact of the price adjustment process and trading noise on return patterns of grain futures’, Journal of Futures Markets 12: 575-85.
30. Ma, C.K., Dare, W.H. and Donaldson, D.R. (1990) ‘Testing rationality in futures markets’, Journal of Futures Markets 10: 137-52.
31. Ma, C.K., Peterson, R.L. and Sears, R.S. (1992) ‘Trading noise, adverse selection, and intraday bid-ask spreads in futures markets’, Journal of Futures Markets 12: 519-38.
32. Market Vane’s Bullish Consensus (1983-94) Hadady Corporation, Pasadena, CA.
33. Muth, J.F. (1961) ‘Rational expectations and the theory of price movements’, Econometrica 29: 315-35.
34. Samuelson, P. (1965) ‘Proof that properly anticipated prices fluctuate randomly’, Industrial Management Science 6: 41-9.
35. Shleifer, A. and Summers, L.H. (1990) ‘The noise trader approach to finance’, Journal of Economic Perspectives 4: 19-33.
36. Smidt, S. (1965) ‘Amateur speculators’, in Cornell Studies in Policy Administration. Cornell: Cornell University.
37. Solt, M.E. and Statman, M. (1988) ‘How useful is the sentiment index’, Financial Analysts Journal September: 45-55.
38. Stein, J.L. (1981) ‘Speculative price: economic welfare and the idiot of chance’, Review of Economics and Statistics 63: 223-32.
39. Summers, L.H. (1986) ‘Does the stock market rationally reflect fundamental values?’, Journal of Finance 41: 591-601.
40. Taylor, S.J. (1985) ‘The behavior of futures prices over time’, Applied Economics 17: 713-34.
41. Working, H. (1949) ‘The investigation of economic expectations’, American Economic Review 39(2): 159-70.