Spillover Effect of Network Public Opinion on Market Prices of Small-Scale Agricultural Products

Xingchen Lv, Weijun Lin (), Jun Meng and Linan Mo
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Xingchen Lv: Institute of Agricultural Economics and Information, Guangdong Academy of Agricultural Sciences, Guangzhou 510640, China
Weijun Lin: Institute of Agricultural Economics and Information, Guangdong Academy of Agricultural Sciences, Guangzhou 510640, China
Jun Meng: College of Arts and Sciences, Northeast Agricultural University, Harbin 150030, China
Linan Mo: Institute of Agricultural Economics and Information, Guangdong Academy of Agricultural Sciences, Guangzhou 510640, China

Mathematics, 2024, vol. 12, issue 4, 1-17

Abstract: Network public opinion plays a crucial role in the behavior and decision making of various stakeholders, including farmers, middlemen, and consumers. It also affects the price fluctuations of small-scale agricultural products. Understanding the transmission path and spillover effect of network public opinion on the price fluctuations of these products is essential for ensuring their sustainable development and price stability. This paper selects the monthly data of network public opinion and related market prices of small-scale agricultural products from January 2014 to December 2021, constructs a network public opinion value through the sentiment classification results of deep learning models, and uses the trivariate VAR-BEKK-GARCH(1,1) model and spillover index model to study the spillover effect and spillover index of network public opinion on the market prices of small-scale agricultural products (national average price and origin price). The results show that: (1) There is a bidirectional volatility spillover effect between public opinion sentiment and the market prices of small-scale agricultural products. Additionally, this two-way volatility spillover effect is also evident between the average market prices and the origin prices of these commodities. (2) The influence of network public opinion on the market prices of small-scale agricultural products is substantial, with the spillover index being more pronounced for origin prices than for national average prices and reaching its zenith earlier. Consequently, based on these results, recommendations are provided to adapt planting and inventory strategies, enhance vigilance towards price risk transmission amongst small-scale agricultural product markets, and improve the comprehensive information platform encompassing the entire industry chain.

Keywords: network public opinion; small-scale agricultural products; VAR-BEKK-GARCH(1,1) model; spillover index (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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