Disagreement on sunspots and soybeans futures price
Hanjie Wang,
Jan-Henning Feil and
Xiaohua Yu
Economic Modelling, 2021, vol. 95, issue C, 385-393
Abstract:
Disagreement on information could cause market price volatilities through the channels of gradual information flow, limited attention, and heterogeneous priors. High food price volatilities could incur severe welfare loss. This paper analyzes the effect of sunspots on the volatility of soybeans futures price in a framework of the disagreement theory. Empirically, we use the monthly time series datasets of soybeans futures price and sunspots activities from 1988-2018 to investigate how sunspots affect the volatilities of soybeans futures price by estimating the GARCH, GJR-GARCH, and Markov-switching GARCH models. Our findings can be summarized as: (1) extremely low sunspot activity could lead to both a high level and a high volatility for soybeans futures price; and (2) when considering regime changes, the disagreement level is nonlinear in the high volatility regime in which the high price volatility exists on both extremely low and high sunspot activities.
Keywords: Disagreement; Sunspots; Investors’ behaviors; Soybeans futures price (search for similar items in EconPapers)
JEL-codes: G12 G14 G41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999319310119
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:95:y:2021:i:c:p:385-393
DOI: 10.1016/j.econmod.2020.03.005
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().