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Contagion of future-level sentiment in Chinese Agricultural Futures Markets

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  • Zhou, Liyun
  • Huang, Jialiang

Abstract

This study investigates the contagion effect of future-level sentiment in Chinese Agricultural Future Markets. First, sentiment contagion appears when future-level sentiment remains correlated even after adjusting for the impacts of fundamental macroeconomic shocks and future-market sentiment. This confirms the existence of future-level sentiment contagion in Chinese Agricultural Futures Markets. Second, this study shows that contagious future-level sentiment is a driver of agricultural futures prices, except sugar future in Chinese Agricultural Futures Markets. Moreover, this paper sheds new light on the combined roles of contagious future-level sentiment and idiosyncratic future-level sentiment on agricultural futures prices. In general, the results of the study can be taken as direct evidence of the significant impact of future-level sentiment contagion on agricultural futures prices. Although literature has addressed the sentiment contagion at the market level, little research has explored this on the future level within Chinese Futures Markets.

Suggested Citation

  • Zhou, Liyun & Huang, Jialiang, 2020. "Contagion of future-level sentiment in Chinese Agricultural Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19307048
    DOI: 10.1016/j.pacfin.2020.101316
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    Cited by:

    1. Dai, Zhifeng & Zhu, Junxin & Zhang, Xinhua, 2022. "Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment," Energy Economics, Elsevier, vol. 114(C).
    2. Dony Abdul Chalid & Rangga Handika, 2022. "Comovement and contagion in commodity markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2064079-206, December.
    3. Zhou, Liyun & Huang, Jialiang, 2020. "Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    4. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.
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