|Table of Contents|

A Study on the Correlation between Soybean Market Sentiment, Spot Price and Futures Price(PDF)

《大豆科学》[ISSN:1000-9841/CN:23-1227/S]

Issue:
2018年01期
Page:
131-135
Research Field:
Publishing date:

Info

Title:
A Study on the Correlation between Soybean Market Sentiment, Spot Price and Futures Price
Author(s):
SHI Ze-nan; DONG Ling
（Taiyuan University of Technology, Jingzhong 030600, China）
Keywords:
Soybean futures prices;  Soybean spot price;  Market sentiment;  Mean overflow;  MS-VAR
PACS:
F32
DOI:
10.11861/j.issn.1000-9841.2018.01.0131
Abstract:
In this paper, MSIH (3) -VAR (3) model was used to select the weekly data from July 2014 to June 2017, and test the market sentiment from the perspective of non-linearity. The mean value between soybean futures price and spot price Overflow relationship. The results showed that: (1)Soybean futures prices and market sentiment have a positive response to each other, and the spot price and market sentiment between the negative effects. (2)Soybean spot price and futures prices between the mean overflow, the market sentiment is the middle factor of the relationship between the soybean futures price and the spot price. (3) The market sentiment is the middle factor of the soybean futures price and the spot price. Finally, according to the conclusion of this paper, the relevant suggestions are put forward.

References:

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Last Update: 2018-03-14