This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futures-cash basis. The empirical results provide evidence of commonality in trading activity by various types of institutional investors across futures and stock markets. Additionally, this study finds that the first principal component of trading activity is most closely related to the futures trading of mutual funds. Moreover, the empirical results indicate that the first principal component of trading activity and mutual funds' futures trading Granger-cause the futures-cash basis and vice versa. Finally, the results of the impulse response functions show that the first principal component of trading

This study investigates whether investor sentiment estimated by overnight returns of industry exchange‐traded funds (ETFs) affects Volatility Index (VIX) futures and stock index futures returns. Our empirical results indicate that high overnight returns of industry ETFs are associated with sentiment‐based trading. The results also show that investor sentiment, as measured by the relative comovements of overnight returns of industry ETFs, Granger‐causes VIX futures and stock index futures returns, but not vice versa. Finally, investor sentiment, as measured by the relative comovements, displays statistically and economically significant out‐of‐sample predictive power for VIX futures and stock index futures returns.

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This paper examines the impact of the determination of stock closing prices on futures price efficiency and hedging effectiveness with stock indices futures. The empirical results indicate that the increase in the length of the batching period of the stock closing call improves price efficiency in the futures closing prices and then enhances hedging performance in terms of the hedging risks. Additionally, from a utility-maximization point of view, hedging performance does not improve after the introduction of the 5 min stock closing call, which can be explained by an improvement in price efficiency at the futures market close. Copyright (c) The Authors. Journal compilation (c) 2009 AFAANZ.

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