Journal
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
Volume 52, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.ribaf.2019.101114
Keywords
Investor sentiment; Commodity market; Connectedness; Spillover effect
Categories
Funding
- National Natural Science Foundation of China [71974181, 71774152, 91546109, 71874206, 71503274]
- Youth Innovation Promotion Association of Chinese Academy of Sciences [Y7X0231505]
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This paper analyses the connectedness network for commercial traders' sentiment across agriculture, energy, metals and livestock futures markets. The findings find that: (a) producer/merchant/processor/user (PMPU) in agricultural and energy markets are mainly engaged in cross-hedging in the futures market, and most of them would avoid risks in these markets by operating in the metal markets, which can be considered safe for PMPU traders, and that the cross-hedging strategies may play the role of PMPU sentiment spillover across futures markets; (b) as index traders, the swap dealers operate more in two markets, namely between the agricultural and metal markets, or between the agricultural and energy markets; (c) the influence of geopolitical risks in some countries can affect the stability of energy markets, which in turn can cause PMPU system-wide connectedness.
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