Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment

Liyun Zhou and Jialiang Huang

The North American Journal of Economics and Finance, 2020, vol. 54, issue C

Abstract: This study investigates the excess co-movement of agricultural futures prices from a new perspective of contagious investor sentiment. This study shows that contagious investor sentiment is a key determinant of excess co-movement of agricultural futures prices, by using contagious investor sentiment among different agricultural futures. Further, this study decomposes contagious investor sentiment into expected and unexpected contagious investor sentiment. Results show that both of them can positively affect excess co-movement of agricultural futures prices. More interestingly, expected contagious investor sentiment outperforms unexpected contagious investor sentiment in soybean 1 future, soymeal future, and strong wheat future. In general, the results of this study can provide strong support for the significant roles of contagious investor sentiment in asset pricing applications.

Keywords: Excess co-movement; Contagious investor sentiment; Agricultural futures prices; Behavior finance (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301649

DOI: 10.1016/j.najef.2020.101267

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