Investor Sentiment And Spillover Effect Of Bulk Commodity

Bulk commodity is a kind of fundamental commodity,and its market changes are closely related to the changes of economic situation in the world.In recent years,the market price of bulk commodity has fluctuated more frequently and more fiercely.Thus,it becomes the focus of world attention.As the fundamental raw materials for many industries,bulk commodity has low elasticity of substitution and low elasticity of price demand.The frequent and fierce fluctuations of its price will definitely bring certain risk to the development of substantial economy.There are many influence factors causing such frequent and fierce fluctuations of bulk commodity's international market price,for example,some researchers consider that,rise and decline of demand for bulk commodity is the important reason for its price fluctuation(Trostle,2008;Kilian,2009).However,those conventional theories about supply and demand have become inadequate to explain the current frequent fluctuations of bulk commodity market price in the world.Therefore,under this background,as supplementation to existing research,this article will discuss this issue based on investor sentiment,comprehensively study the spillover effect of bulk commodity market based on investor sentiment,and compare and analyze the features of responses by different types of bulk commodity markets considering the changes of consumers' sentiments in different markets.In this article,based on investor sentiment,empirical analysis is conducted for the research on spillover effect of bulk commodity.Firstly,the background of bulk commodity is basically introduced,and the spillover effect among bulk commodity markets and the research on investor sentiment are reviewed.Based on the above,the research on influence from investor sentiment upon spillover effect of bulk commodity market is briefly systematized.Secondly,this article studied the investor sentiment and spillover effect of bulk commodity market from three perspectives.1.Based on the methods by Baker and Wurgler(2006),the consumer's sentiment index is constructed;2.Based on the double variant model EGARCH,the spillover effect model added with investor sentiment variable is reconstructed.Thirdly,in this article,aimed at investor sentiment,the empirical study on influence of transmission mode of bulk commodity market is conducted.The empirical result based on double variant model EGARCH proves that,among bulk commodity markets,there are transmissions of spillover results in levels of mean value and fluctuation,and the rate of return in bulk commodity market will be influenced by investor sentiments from other markets.The major contribution and innovation of this research are the following two aspects:1.Spillover effect of investor sentiment in bulk commodity market.Nowadays,large amount of research literatures consider the influence of external factors of market and mainly based on the factors of macroscopic fundamentals(GDP change rate,inflation rate,interest rate,exchange rate,etc.),but few of them adopt the perspective of investor sentiment.2.This research constructs the index to measure investor sentiment of bulk commodity market.In past research about investor sentiment mainly focus the stock market,for example,research on investor sentiment based on sentiment,research on investor sentiment of stock market based on behavioral finance,research on investor sentiment under raising limit based on behavioral finance,etc.However,research on commodity market is rather rare.This article,this article studied the investor sentiment and spillover effect of bulk commodity market from three perspectives.based on research of commodity market sentiment,is to supplement such blank in relevant international research.