Menu Expand

Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds

Cite JOURNAL ARTICLE

Style

Chen, H. Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds. Credit and Capital Markets – Kredit und Kapital, 48(2), 171-206. https://doi.org/10.3790/ccm.48.2.171
Chen, Hsiu-Lang "Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds" Credit and Capital Markets – Kredit und Kapital 48.2, 2015, 171-206. https://doi.org/10.3790/ccm.48.2.171
Chen, Hsiu-Lang (2015): Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds, in: Credit and Capital Markets – Kredit und Kapital, vol. 48, iss. 2, 171-206, [online] https://doi.org/10.3790/ccm.48.2.171

Format

Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds

Chen, Hsiu-Lang

Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 2 : pp. 171–206

4 Citations (CrossRef)

Additional Information

Article Details

Author Details

Dr. Hsiu-lang Chen, Department of Finance, University of Illinois at Chicago, 601 South Morgan Street, Chicago, IL 60607, USA

Cited By

  1. A Study on the Investor Sentiment and the Irrational Investors' Behavior Based on the Commodity ETF Market

    Korean Journal of Financial Engineering, Vol. 16 (2017), Iss. 2 P.87

    https://doi.org/10.35527/kfedoi.2017.16.2.005 [Citations: 2]
  2. Is the tracking error time-varying? Evidence from agricultural ETCs

    Perera, Devmali | Białkowski, Jędrzej | Bohl, Martin T.

    Research in International Business and Finance, Vol. 63 (2022), Iss. P.101738

    https://doi.org/10.1016/j.ribaf.2022.101738 [Citations: 2]
  3. Persistent trends and inefficiencies in the Greek housing market: a sentiment based approach

    Vasileiou, Evangelos | Hadad, Elroi | Oikonomou, Martha

    Journal of European Real Estate Research, Vol. 17 (2024), Iss. 1 P.49

    https://doi.org/10.1108/JERER-08-2023-0027 [Citations: 0]
  4. Trading commodity ETFs: Price behavior, investment insights, and performance analysis

    Hadad, Elroi | Malhotra, Davinder | Nippani, Srinivas

    Journal of Futures Markets, Vol. 44 (2024), Iss. 7 P.1257

    https://doi.org/10.1002/fut.22509 [Citations: 1]

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.