Research On The Impact Of Investor Sentiment On The Effectiveness Of Soybean Futures Price Discovery Functio

The crisis faced by China’s soybean market is becoming more and more diversified.Since entering the 21 st century,China’s grain output has gradually increased,but the self-sufficiency rate has gradually decreased.The soybean market is increasingly affected by the international market.China’s high demand makes it more capable of negotiation than the four major grain manufacturers(ADM,Bangui,Cargill and Louis Dreyfus).However,due to the lack of pricing power in the soybean market,the crisis faced by China’s soybean market has not been solved.In order to improve the construction of market system and protect China’s food security,it is necessary to establish the international pricing power of soybean market,and the effective exertion of the price discovery function of soybean futures market is the basis of establishing the international pricing power of soybean market.The effective exertion of soybean futures price discovery function can not only provide a good trading environment for the market,provide good services for market participants to participate in the market,but also provide a path for government intervention and macro-control.The effective exertion of the price discovery function of futures market requires investors’ rational behavior and decision-making to jointly promote the formation of correct futures prices.The decision-making of investors’ behavior is not always rational,because they receive different market information and different decision-making habits.This behavior of investors is often affected by investors’ emotions,resulting in irrational price expectations,which affects the effectiveness of futures price discovery function.This paper aims to explore the impact of investor sentiment on the effectiveness of price discovery function in China’s soybean futures market.Provide relevant reference opinions for policy makers and market participants,improve the effectiveness of soybean futures market,enhance the ability of soybean to resist risks,improve the international pricing power of China’s soybean futures,and protect the interests of China’s soybean enterprises and farmers.Based on behavioral finance theory,this paper analyzes the action mechanis m,influence mechanism and main path of investor sentiment on soybean futures price discovery function.This paper constructs the composite index of investor sentiment in China’s soybean market by principal component analysis,analyzes the effectiveness of investor sentiment on soybean futures price discovery funct ion by using Vector autoregressive model(VAR),empirically analyzes investor sentiment,soybean futures price growth rate and soybean market basis through VAR model,and explores the specific performance of the impact of investor sentiment on the effectiveness of soybean futures price discovery function.The research shows that investor sentiment and the price discovery function of soybean futures market affect each other;When investor sentiment is high,the effectiveness of price discovery function in futures market decreases;The decrease of the effectiveness of soybean futures price discovery function will lead to the rise of investor sentiment.On this basis,targeted suggestions are put forward.