Contagion of future-level sentiment in Chinese Agricultural Futures Markets

Abstract

This study investigates the contagion effect of future-level sentiment in Chinese Agricultural Future Markets. First, sentiment contagion appears when future-level sentiment remains correlated even after adjusting for the impacts of fundamental macroeconomic shocks and future-market sentiment. This confirms the existence of future-level sentiment contagion in Chinese Agricultural Futures Markets. Second, this study shows that contagious future-level sentiment is a driver of agricultural futures prices, except sugar future in Chinese Agricultural Futures Markets. Moreover, this paper sheds new light on the combined roles of contagious future-level sentiment and idiosyncratic future-level sentiment on agricultural futures prices. In general, the results of the study can be taken as direct evidence of the significant impact of future-level sentiment contagion on agricultural futures prices. Although literature has addressed the sentiment contagion at the market level, little research has explored this on the future level within Chinese Futures Markets.