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Investor trading behavior on agricultural future prices

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  • Zhou, Liyun
  • Zhang, Rixin
  • Huang, Jialiang

Abstract

Behavioral finance researches suggest that futures trading behavior exerts obvious over-speculation bias to impact future prices. In this paper, we systematically investigate how investor trading behavior comoves with agricultural future prices. This paper yields new insights into the decompositions of investor trading behavior and distinguishes the performance differences between expected and unexpected investor trading behaviors. Furthermore, this paper sheds new lights on the heterogeneous functions of buyer-initiated trading behavior and seller-initiated trading behavior on agricultural future prices. Collectively, our results can be taken as direct and strong evidence of the significant impacts of investor trading behavior on agricultural future prices.

Suggested Citation

  • Zhou, Liyun & Zhang, Rixin & Huang, Jialiang, 2019. "Investor trading behavior on agricultural future prices," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 365-379.
    • Handle: RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379
    DOI: 10.1016/j.najef.2018.05.004
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    Cited by:

    1. Zhou, Liyun & Huang, Jialiang, 2020. "Contagion of future-level sentiment in Chinese Agricultural Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    2. Ting-Ting Sun & Chi-Wei Su & Ran Tao & Meng Qin, 2021. "Are Agricultural Commodity Prices on a Conventional Wisdom with Inflation?," SAGE Open, , vol. 11(3), pages 21582440211, August.
    3. Jing Shi & Marcel Ausloos & Tingting Zhu, 2022. "If global or local investor sentiments are prone to developing an impact on stock returns, is there an industry effect?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1309-1320, January.
    4. Chen, Fuzhong & Hsu, Chien-Lung & Lin, Arthur J. & Li, Haifeng, 2020. "Holding risky financial assets and subjective wellbeing: Empirical evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    5. Jinfang Li, 2021. "The term structure effects of individual stock investor sentiment on excess returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1695-1705, April.
    6. Fang, Ming & Chang, Chiu-Lan & Zhang, Qi, 2023. "Impacts of trading restrictions on price volatilities and speculative activities: Evidence from CSI 300 futures," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 184-204.

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