Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds
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Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 2 : pp. 171–206
4 Citations (CrossRef)
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Dr. Hsiu-lang Chen, Department of Finance, University of Illinois at Chicago, 601 South Morgan Street, Chicago, IL 60607, USA
Cited By
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A Study on the Investor Sentiment and the Irrational Investors' Behavior Based on the Commodity ETF Market
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https://doi.org/10.35527/kfedoi.2017.16.2.005 [Citations: 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] -
Persistent trends and inefficiencies in the Greek housing market: a sentiment based approach
Vasileiou, Evangelos | Hadad, Elroi | Oikonomou, MarthaJournal of European Real Estate Research, Vol. 17 (2024), Iss. 1 P.49
https://doi.org/10.1108/JERER-08-2023-0027 [Citations: 0] -
Trading commodity ETFs: Price behavior, investment insights, and performance analysis
Hadad, Elroi | Malhotra, Davinder | Nippani, SrinivasJournal of Futures Markets, Vol. 44 (2024), Iss. 7 P.1257
https://doi.org/10.1002/fut.22509 [Citations: 0]
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.
Table of Contents
| Section Title | Page | Action | Price |
|---|---|---|---|
| Hsiu-Lang Chen: Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds | 1 |