Investor Sentiment and Price Discovery: Evidence from the Pricing Dynamics between the Futures and Spot Markets

Keywords

Price discovery, Futures contract, Spot contract, Financial economics, Spot market

References

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• The seasonality of gold prices in China does the risk‐aversion level matter?Thị Hồng Vân Hoàng, Zhenzhen Zhu, Bing Xiao — 2018
• Sentiment trading, informed trading and dynamic asset pricingJinfang Li — 2019
• The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal marketsLee A. Smales, Brian M. Lucey — 2019
• Thought Viruses and Asset PricesWolfgang Kuhle — 2018
• Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock ExchangeLorraine Rupande, Hilary Tinotenda Muguto, Paul‐Francois Muzindutsi — 2019
• Time varying price discovery of the New Third Board market in China: does the market-making system help?Gaoxiu Qiao, Pengfei Zhao, Weiping Li — 2019
• Price Discovery in the Chinese Stock Index Futures MarketJing Hao, Xiong Xiong, Feng He — 2019
• Dynamic Cross-Correlations between Investors’ Attention and CSI300 Index FuturesXiong Xiong, Kewei Xu, Dehua Shen — 2019
• Arbitrage, speculation and futures price fluctuations with boundedly rational and heterogeneous agentsQingbin Gong, Zhe Yang — 2019
• Market reactions to the implementation of the Banking Union in EuropeLivia Pancotto, Owain ap Gwilym, Jonathan Williams — 2019
• The determinants of price discovery on bitcoin marketsOliver Entrop, Bart Frijns, Marco Seruset — 2020
• The effect of market sentiment and information asymmetry on option pricingImen Zghal, Salah Ben Hamad, Hichem Eleuch — 2020
• Relationship between investor sentiment and earnings news in high‐ and low‐sentiment periodsZhuo Li, Meiyu Tian, Guangda Ouyang — 2020
• Intertemporal price discovery between stock index futures and spot markets: New evidence from high‐frequency dataImtiaz Sifat, Imtiaz Sifat, Azhar Mohamad — 2020
• The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetryShaen Corbet, Yang Hou, Yang Hu — 2020
• Contributions of Crude Oil Exchange Traded Funds in Price Discovery ProcessKeshab Shrestha, Sheena Sara Suresh Philip, Yessy Peranginangin — 2020
• Estimating Real World Probabilities: A Forward-Looking Behavioral FrameworkRicardo Crisóstomo — 2020
• Decomposing the Investor SentimentAlina F. Klein, Rudolf F. Klein — 2023
• Risk Control in Electricity Market Based on Margin RequirementRuichen Wang, Shuibin Zheng, Yongjun Sun — 2020
• Trading activity and price discovery in Bitcoin futures marketsJui‐Cheng Hung, Hung‐Chun Liu, J. Jimmy Yang — 2021

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