Research On The Information Spillover Effects Between Investor Attention And China’s Soybean Futures Market

As one of the most active agricultural products in China,soybean has both commodity and financial attributes,while retaining its high-risk characteristics as a derivative.This makes the inefficient soybean futures market in China have the problems of price distortion and economic function hindered.The perspective of investor attention has opened a new paradigm for the study of behavioral finance.From this perspective,the study of the trading behavior and the law of price changes in the soybean futures market will help the majority of investors understand the price discovery function of the soybean futures market,and promote the healthy and orderly development of China’s agricultural futures market.This study provides a new perspective and idea for the research on the price discovery function of soybean futures market,provides empirical value for investors to make more effective investor decisions based on online attention management expectations,and is of great significance for the government to formulate effective policies and implement the early warning mechanism reasonably according to the characteristics of varieties.Based on the theory of investor limited attention and the theory of futures market spillover effect,this paper selects the daily data of Baidu Index and soybean futures market from January 2011 to June 2022,uses principal component analysis to build an investor attention index closely related to the soybean futures market,and establishes a VAR model to testify the causal relationship between investor attention and the trading behavior of the soybean futures market.This article explores the spillover effects of investor attention on the composite index and soybean futures market by using the rolling window VAR model spillover index and DCC-GARCH model.Furthermore,the BEKK-GARCH model is used to study the volatility spillover effects of investor attention on the soybean futures market.There are significant heterogeneity characterizations at the level of significant historical events in both returns and volatility.The research results indicate that:(1)There is a strong time-varying characteristic of the correlation between investor attention and soybean futures returns,and the occurrence of major events affects the change in their correlation degree.(2)The net spillover effect of soybean I contract in the system is positive as an information contributor,while the net spillover effect of soybean II contract in the system is negative as an information receiver,and investor attention plays a mediating role to a certain extent.(3)The soybean II contract which based on imported soybeans is more susceptible to external shocks,and the spillover effect between it and investor attention is more significant.(4)The occurrence of major events affected the degree and direction of volatility spillover effects between investor attention and the soybean futures market,and the occurrence of the trade war strengthened the connection between investor attention and the soybean futures market.