不同流动性水平下投资者情绪对农产品期货价格波动影响研究——基于面板门槛模型的分析

The Research on Investor Sentiment and the Volatility of Agricultural Futures Price under Different Liquidity Levels——Based on the Panel threshold Model

投资者情绪是造成期货价格异常波动和期货定价偏差的重要因素,因而捕捉投资者情绪与期货价格波动之间的非线性关系就尤为重要。以我国四种农产品期货市场为例,运用面板门槛模型,探究不同流动性水平下投资者情绪与期货价格波动之间的关系。结果表明:我国农产品期货市场流动性存在明显的门槛效应,使得投资者情绪与价格波动之间存在非线性关系;区分看涨、看跌和正常情绪,不同市场情绪的流动性门槛不同;极端情绪对价格波动存在“非对称效应”,其“熨平”价格波动的作用更加明显。

Investor sentiment is the important factor that causes the abnormal fluctuation of futures price and the deviation of futures contract price,therefore,it is particularly important to capture the non-linear relationship between investor sentiment and futures price fluctuation.Taking China's agricultural product futures market as an example,this paper uses the panel threshold model to try to capture the relationship between investor sentiment and futures price fluctuation under different liquidity levels.The conclusion are as followed:In China's agricultural product futures market,liquidity has a significant threshold effect,which makes a nonlinear relationship between investor sentiment and price fluctuations;Different liquidity thresholds exist in different market sentiments;Extreme sentiments have an"asymmetric effect"on price volatility,and their effect of"smoothing"price volatility is more pronounced.