{"title":"中国农产品期货市场的市场情绪和期货收益","authors":"","doi":"10.1016/j.bir.2024.03.008","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 5","pages":"Pages 869-885"},"PeriodicalIF":6.3000,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000498/pdfft?md5=d03928aac22135c816371d92b58d0b69&pid=1-s2.0-S2214845024000498-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Market- and future-level sentiment and futures returns in Chinese agricultural futures markets\",\"authors\":\"\",\"doi\":\"10.1016/j.bir.2024.03.008\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":46690,\"journal\":{\"name\":\"Borsa Istanbul Review\",\"volume\":\"24 5\",\"pages\":\"Pages 869-885\"},\"PeriodicalIF\":6.3000,\"publicationDate\":\"2024-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000498/pdfft?md5=d03928aac22135c816371d92b58d0b69&pid=1-s2.0-S2214845024000498-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Borsa Istanbul Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000498\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845024000498","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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