Investor Sentiment And Risk Spillover Effect Of Agricultural Futures

In recent years,the phenomenon of abnormal fluctuations in the financial market is becoming more and more frequent.The traditional financial theory can not explain the occurrence of these abnormal phenomena.Behavioral finance is a new discipline that integrates finance,psychology,economics and other knowledge,which can well explain the emergence of these abnormal phenomena.At present,the popular theory is investor sentiment.Investor expectations of the future of the financial market will affect investor sentiment.The fluctuation of investor sentiment will change investor behavior and affect the volatility of the financial market.At this time,the investor sentiment and the financial market are likely to have risk spillover.This paper selects Chinese agricultural futures market as the research object.Firstly,it constructs a comprehensive investor sentiment index based on three single investor sentiment indexes,which provides a new idea for the construction of comprehensive investor sentiment.Secondly,it analyzes the correlation between investor sentiment and agricultural futures from a qualitative point of view.Finally,from a quantitative perspective,this paper studies the impact of different investor sentiment on the risk spillover of agricultural futures market.The main contents and conclusions are as follows:Firstly,this paper selects Baidu Index,futures trading volume and volatility as the proxy variables of investor sentiment of single index,and constructs a comprehensive investor sentiment index on this basis.The comprehensive investor sentiment index constructed in this paper includes the information of internet search index level and futures trading level,and more comprehensively depicts the market sentiment than the single index investor sentiment.When we use GARCH family model to estimate the marginal distribution of sample data,we find that ARMA(1,1)-GARCH(1,1)-GED model has the best estimation result;in addition,futures markets show volatility aggregation and persistence,and four kinds of investor sentiment index series have different degree of volatility persistence.Secondly,in the analysis of Baidu Index sentiment,trading volume sentiment,volatility sentiment,comprehensive investor sentiment and futures market,it is found that the four investor sentiment indicators show a certain degree of correlation with the futures market:most of the investor sentiment indicators and futures market returns show a positive correlation;all of the investor sentiment and futures market show tail asymmetry,and the upper tail correlation is significantly stronger than the lower tail correlation.Thirdly,this paper uses the mixed Copula-CoVaR model to study the risk spillover effect of emotional and futures market,and finds that investor sentiment and agricultural futures market have two-way risk spillover effect;from the static spillover result to analysis,the net spillover value of investor sentiment is positive and that of futures market is negative;from the dynamic risk spillover result to analysis,risk spillover effect is time-varying,and different agricultural futures markets have different risk spillover effects.