Empirical Study On The Relationship Between Investor Sentiment And Rebar Futures Earnings

As China’s economy continues to grow and become more open financially,futures are playing an increasingly important role in China’s economy.As the world’s largest producer and trader of steel,China’s steel industry is the backbone of its economy,and rebar is a representative variety of steel.To address the risk of price volatility,China has listed rebar futures for trading.Investor sentiment reflects the emotional and psychological state that investors exhibit in their trading and investment decisions,often leading to systematic deviations in future market expectations.In the rebar futures market,traders are often subject to their emotions,leading to irrational trading and price volatility,which in turn affects returns.Therefore,an in-depth analysis of rebar futures returns is important for the government to adjust supply and demand policies according to changes in investor sentiment,for steel companies to hedge their positions,and for investors to make rational investment decisions.This paper analyzes the impact of investor sentiment on rebar futures returns from a behavioral finance perspective.To analyze this issue,we first address the qualitative and quantitative aspects of investor sentiment.Referring to earlier methods of measuring investor sentiment,this paper uses principal component analysis to select data from January 3,2020 to January 3,2023,and chooses five indicators of the main active contract of rebar futures: position,PSY psychological line,RSI relative strength line,basis difference and turnover rate and their lagged period data,and after removing the current period value of basis difference,constructs the The composite sentiment index is used as a proxy variable for investor sentiment in China’s rebar futures.A VAR model was established to study the association between investor sentiment index and rebar futures returns,and an EGARCH(1,1)model was established to analyze the impact of investor sentiment index on rebar futures returns volatility.It is found that: rebar futures returns are Granger causes of investor sentiment,investor sentiment can explain changes in rebar futures returns,and there is a long-term cointegration relationship between investor sentiment and rebar futures returns.The impact of investor sentiment on rebar futures returns is asymmetric,and the negative impact of investor sentiment on rebar futures returns is greater than the positive impact.Finally,this paper makes targeted recommendations to investors and regulatory level based on the above analysis and research.