The Study On Investor Sentiment?investor Trading Behavior Effect On Non-ferrous Metal Futures Returns

The traditional asset pricing theory takes the rational person hypothesis as the research premise,and belives that the arbitrage behavior will eliminate the irrational factors of the market and promote the asset price to approach its own value,but it cannot provide a reasonable explanation for a series of financial market anomalies in recent years.Behavioral finance theory has gradually gained recogonition from the academic community with its good interpretation of financial market anomalies.People began to study the impact factors of asset prices from irrational perspectives,such as the effect of irrational investor sentiment and investor trading behavior on asset prices.China is the world's largest producer and consumer of non-ferrous metals,and non-ferrous metal futures occupy an important position in the futures market,which are in line with the development of the national economy.Although China's futures market has developed rapidly in recent years,but compared to the mature markets in foreign countries,China futures market started late,and various systems still need to be improved.Moreover,the market effectiveness is weak and the influence of irrational factors is far-reaching.Therefore,studying the influence of irrational factors on futures prices from the perspective of behavioral finance is in line with the development status of China's futures market and has certain theoratical and practical significance.Based on this,this paper attempts to explore the influence of investor sentiment and investor trading behavior on the returns of China's non-ferrous metals futures.Inspired by Shiiler's(2011,2014)concept of "Humanizing Finance",this paper constructs the investor sentiment index and the buy-sell imbalance index of the non-ferrous metal futures market,which is used to describe the real thoughts and real behaviors of futures investors.Further,this paper explores the relationship between the two and the return of non-ferrous metals futures.Firstly,we choose eight common non-ferrous futures in the Shanghai Furures Exchange as the research objects,and test the influence of investor sentiment and buy-sell imbalance on the returns of them with the method of multiple regression analysis.The result shows that both investor sentiment and buy-sell imbalance have positive and significant effects on non-ferrous metal futures returns,and the impact of buy-sell imbalance is more significant.Secondly,we consider investor behavior from the perspective of buyers and sellers,and decompose it into the buyer-initiated trading volume(BV)and the seller-initiated trading volume(SV).Then we explore the effects of investor sentiment,buyer-initiated trading volume and seller-initiated trading volume on the returns of non-ferrous metals futures.The result shows that both of them have significant effects on the non-ferrous metals futures returns,in which the impact of investor sentiment and buyer-initiated trading volume is positive,while the impact of seller-initiated trading volume is negative.Thirdly,we decompose the buy-sell imbalance index into predictable and unpredictable parts,and then discuss the influence of investor sentiment,predictable and unpredictable buysell imbalance on the returns of non-ferrous metals futures.The result shows that investor sentiment,predictable and unpredictable buy-sell imbalance are systematic factors of nonferrous metals futures,and they have a positive and significant influence on non-ferrous metal futures returns.Furthermore,compared with predictable buy-sell imbalance,the influence of unpredictable buy-sell imbalance on non-ferrous metal futures returns is more significant.