Construction of the Euwax Sentiment Index
Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of 5 years, the Euwax Sentiment Index is being developed. It is based on retail investor orders submitted to the European Warrant Exchange, the market segment for securitized derivatives at Boerse Stuttgart. What makes this data unique is the fact that it consists of retail orders only, retail buy and sell orders can be determined exactly due to the market maker model, expression of negative sentiment is possible by buying puts, and not the data includes executed as well as submitted orders.
KeywordsMarket Return Order Type Limit Order Strike Price Investor Sentiment
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