我国原油期货价格与投资者情绪的异质效应:来自苏伊士运河堵塞的经验证据

Heterogeneous Effects of Crude Oil Future Price and Investor Sentiment in China:Empirical Evidence from the Blockage of the Suez Canal

苏伊士运河堵塞期间,我国原油期货价格剧烈波动,投资者表现出狂热和恐慌现象,严重影响市场发展。基于原油期货价格等数据,研究运河堵塞对期货价格和投资者情绪影响的异质效应。结果表明:运河堵塞期间,原油期货价格波动始终是投资者情绪波动的单向格兰杰原因,持续发酵的社会舆论加剧投资者情绪波动;堵塞处理进展会导致期货价格剧烈波动并显著影响投资者情绪,但投资者具有自我调节能力;相较于股票市场,期货市场对运河堵塞事件的反映更为迅速。

During the blockage of the Suez Canal,the price of crude oil futures in China fluctuated sharply,and investor showed signs of fanaticism and panic,seriously affecting market development.Based on data such as crude oil futures price,study the heterogeneous effects of canal congestion on futures price and investor sentiment;The results indicate that during the canal blockage period,the fluctuation of crude oil futures price has always been a one-way Granger cause of investor sentiment fluctuations,and the continuous fermentation of social public opinion exacerbates investor sentiment fluctuations;The progress of congestion handling can lead to drastic fluctuations in futures prices and significantly affect investor sentiment,but investors have the ability to self regulate;Compared to the stock market,the futures market has responded more quickly to the canal blockage incident.