Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340508 
Authors: 
Year of Publication: 
2024
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 24 [Issue:] 5 [Year:] 2024 [Pages:] 869-885
Publisher: 
Elsevier, Amsterdam
Abstract: 
This study examines market and future-level sentiment in the Chinese agricultural futures market, distinguishing between contagious and idiosyncratic sentiment. Our analysis reveals that agricultural future-level sentiment is significantly affected by market-level sentiment and domestic stock market sentiment, particularly during bullish market conditions, while global stock market sentiment has minimal impact. Furthermore, we find that both market and future-level sentiment strongly and positively influence futures returns, with contagious and idiosyncratic sentiment exerting favorable influences, particularly in bullish markets. Our findings provide clear evidence of sentiment's impact on agricultural futures returns, offering valuable insights for regulators to identify potential market bubbles and implement effective sentiment regulation measures.
Subjects: 
Agricultural futures returns
Contagious sentiment
Idiosyncratic sentiment
JEL: 
G12
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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