Study Of The Effect Of Investor Sentiment On The Price Discovery Function Of Corn Futures Market

With the developing of behavioral finance,we can analyze the financial market from another perspective,broadening the way of thinking in researching financial market.Behavioral finance believed that investors were irrational and security price was decided by common expectations of investors,Comparing with the “rational-economic man” premise of traditional finance,behavioral finance is more inclined to deem investors normal,that is people have cognitive bias,and introduce the results of psychology,behavioristics and sociology into the study of finance.The fact that future market in China has a rather late start and other aspects don't make its function of price discovery more effective.Comparing with the“rational-economic man” premise of traditional finance,investors in the real capital market are more emotional.Therefore,this paper uses the sentiment theory of behavioral finance to study the corn future market's price discovery in China.Based on investors' sentiment in behavioral finance,this paper studies the influence of investor's sentiment to the function of corn future market price discovery in China.First of all,this paper concludes related research results of future market and behavioral finance,containing future pricing,price discovery and its running mechanisml,as well as investors' sentiment theory;then studies the influence of investor' sentiment in the future market.Via principal component analysis(PCA),the paper choose six variables — — open interest,trading volume,turnover,state street investor confidence index,consumer confidence index and new registered warehouse receipt — — to build a comprehensive sentiment index,and build vector autoregression model(VAR)with corn future price and spot price,analyzing the impact of investors' sentiment to corn future market.,finding that investors' sentiment has opposite influence on future price and spot price,restraining the function's effectiveness of price discovery.The empirical results are: investors' sentiment has mean spillover to corn future price and corn future price,and has opposite influence on corn future price and corn future price——negative influence on future price(there is overconfidence in corn future market in China)and possitive influence on spot price;investors' sentiment has restraining force to price discovery in corn future market.In the end,this paper gives summaries of the research and andputs forward to some related proposals.