Abstract
The special issue starts with a paper by Hsiu-Lang Chen which shows how investor sentiment in the stock market affects prices of commodity exchange-traded funds. The paper empirically investigates how daily tracking errors of commodity exchange-traded funds differ between bullish stock markets (measured by positive investor sentiment, i. e. optimism about stocks in general) and bearish stock markets (measured by negative investor sentiment). The paper also provides evidence that the aggregate tracking error of commodity exchange-traded funds reacts to previously created sentiment measures. By considering a profitable longshort investment trading strategy based on investor sentiment in the stock and commodity market, the results show that the sentiment-driven demand for commodity exchange-traded funds could exist even after incorporating trading costs. This is mostly a short-term phenomenon. Overall, the results imply that investor sentiment has effects on asset valuation across markets.
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