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Investor trading behavior on agricultural future prices

Liyun Zhou, Rixin Zhang and Jialiang Huang

The North American Journal of Economics and Finance, 2019, vol. 47, issue C, 365-379

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.

Keywords: Investor trading behavior; Expected investor trading behavior; Unexpected investor trading behavior; Investor buyer-initiated trading behavior; Investor seller-initiated trading behavior; Agricultural future prices (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.najef.2018.05.004

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Handle: RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379