TY  - JOUR
AB  - This paper investigates the possibility that futures markets attract noise traders who engage in positive feedback trading, an especially destabilizing form of noise trading. The hypothesis is tested using data from four major national index futures markets. The empirical evidence is consistent across all index futures markets under examination. Specifically, there is significant evidence of positive feedback trading. More importantly, the feedback trading pattern exhibits significant long memory in the sense that it depends on longer lags of past prices. Because volatility is asymmetric, the implication is that feedback trading is also asymmetric, being more prevalent during down markets so that mispricing is more likely during those periods that feedback traders are more active.
VL  - 3
IS  - 2
SN  - 1940-5979
DO  - 10.1108/19405979201100004
UR  - https://doi.org/10.1108/19405979201100004
AU  - Antoniou Antonios
AU  - Koutmos Gregory
AU  - Pescetto Gioia
PY  - 2011
Y1  - 2011/01/01
TI  - Testing for Long Memory in the Feedback Mechanism in the Futures Markets
T2  - Review of Behavioural Finance
PB  - Emerald Group Publishing Limited
SP  - 78
EP  - 90
Y2  - 2024/09/24
ER  -