An Empirical Study On The Relationship Between Investor Sentiment And Commodity Futures Return

As an important part of financial derivatives,futures have always played an important role in hedging,speculative profits,price discovery and so on.Commodity futures market,as an important member connecting commodity trading and financial market,plays an important role in stabilizing and developing the real economy and regulating risks.Investor sentiment,as a hot issue in behavioral finance,has been the focus of scholars'research since it was put forward.It provides basis and explanation for various price fluctuation theories in financial markets.It has made important achievements in the fields of earnings prediction,behavioral analysis and volatility interpretation.This paper takes this as a starting point to explore the impact of emotional fluctuations on the yield of commodity futures market,and to do in-depth research on different types of commodity futures.On the one hand,the purpose of this paper is to study many commodity futures and investor sentiment in this market,hoping to find out the relationship between different commodity futures returns and investor sentiment,and to contribute to the study of using investor sentiment to analyze and forecast commodity futures price returns.On the other hand,we compare partial least squares?PLS?and principal component analysis?PCA?to construct the explanatory ability of the index to the yield of commodity futures.The construction of investor sentiment index is the basis of this paper and the premise of empirical analysis.This paper uses partial least squares method to construct investor sentiment composite index(S_PLS),and compares it with the sentiment index(S_PCA)constructed by principal component analysis.In both methods,six emotional indicators?NNI,TR,OPI,VOL,FTR and BSI?were selected as the proxy variables of investor sentiment.This paper draws the following conclusions through empirical research:Firstly,the partial least squares method not only performs well in the securities market,but also outperforms the principal component analysis method in the futures market.Secondly,the investor sentiment composite index is the one-way Granger causality of the yield of the futures market composite index,and its impact on the yield of the futures market composite index has the characteristics of rising first and then falling.Finally,the impact of investor sentiment index on the yield of classified commodity futures index is different.The impact of investor sentiment index on the yield of agricultural products,expensive gold,energy,and industrial gold futures is decreasing in turn.The futures index,which is greatly influenced by investor sentiment,fluctuates less.