弱市中的市场情绪和价格动态：豆粕期权市场的综合实证分析

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-02-18 DOI:10.1002/fut.22490

Bo Yan, Mengru Liang, Yinxin Zhao

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引用次数: 0

摘要

本研究探讨了疲软的全球期货市场中市场效率的关键问题，重点关注市场情绪与期权定价之间错综复杂的关系。研究采用滚动方差比检验和信息共享模型进行市场动态分析，并辅以格兰杰因果检验和脉冲响应结果，揭示了市场情绪对期权定价的显著单向影响，尤其是在情绪高涨时期。这些见解强调了在市场行为分析中考虑时间动态的重要性，为期货和期权市场的理解提供了一个新的视角。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market

This study addresses key issues of market efficiency in weak global futures markets, focusing on the intricate relationship between market sentiment and options pricing. Employing rolling variance ratio tests and information-sharing models for market dynamics analysis, and supplemented with Granger causality tests and impulse response findings, it reveals a significant, unidirectional impact of market sentiment on options pricing, especially during periods of heightened sentiment. These insights underscore the importance of considering time dynamics in market behavior analysis, offering a novel perspective on futures and options market understanding.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.