Yang, Chunpeng; Gao, Bin - In: The North American Journal of Economics and Finance 30 (2014) C, pp. 171-182
In this paper, we construct stock index futures sentiment and stock index sentiment at daily, weekly, and monthly … stock index sentiment. The empirical results show the term structure character of stock index futures sentiment and stock …. Short maturity contract is more significantly affected by stock index futures sentiment and stock index sentiment than long …
