中国农产品期货市场的市场情绪和期货收益

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE Borsa Istanbul Review Pub Date : 2024-09-01 DOI:10.1016/j.bir.2024.03.008
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引用次数: 0

摘要

本研究考察了中国农产品期货市场的市场情绪和未来情绪,并区分了传染性情绪和特异性情绪。我们的分析表明,农产品期货市场情绪受市场情绪和国内股市情绪的影响很大,尤其是在市场看涨的情况下,而全球股市情绪的影响则很小。此外,我们还发现,市场和未来层面的情绪都会对期货收益产生强烈而积极的影响,传染性情绪和特异性情绪会产生有利的影响,尤其是在看涨的市场中。我们的研究结果为情绪对农产品期货收益的影响提供了明确的证据,为监管机构识别潜在的市场泡沫和实施有效的情绪监管措施提供了宝贵的见解。
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Market- and future-level sentiment and futures returns in Chinese agricultural futures markets

This study examines market and future-level sentiment in the Chinese agricultural futures market, distinguishing between contagious and idiosyncratic sentiment. Our analysis reveals that agricultural future-level sentiment is significantly affected by market-level sentiment and domestic stock market sentiment, particularly during bullish market conditions, while global stock market sentiment has minimal impact. Furthermore, we find that both market and future-level sentiment strongly and positively influence futures returns, with contagious and idiosyncratic sentiment exerting favorable influences, particularly in bullish markets. Our findings provide clear evidence of sentiment's impact on agricultural futures returns, offering valuable insights for regulators to identify potential market bubbles and implement effective sentiment regulation measures.

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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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