This study shows that investor sentiment plays an important role in affecting the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid-ask spread on both the spot and futures markets,...

In this paper, a multiple transactions model with a panel data approach is used to estimate housing market indices. The multiple transactions model keeps the same features of the repeat transactions index model (i.e., tracking the price appreciation of same houses). However, the multiple...