AUTHOR=Wu Binghui , Wang Ting TITLE=The Spillover Effect and Dynamic Correlation of the China-US Bean Futures Markets Based on Investor Sentiment JOURNAL=Frontiers in Physics VOLUME=10 YEAR=2022 URL=https://www.frontiersin.org/journals/physics/articles/10.3389/fphy.2022.871246 DOI=10.3389/fphy.2022.871246 ISSN=2296-424X ABSTRACT=

This study analyzes the spillover effect and dynamic correlation of the China-US bean futures markets and discusses the relationship between the dynamic correlation of the bean futures price index and investor sentiment. First, the spillover effect of the China-US bean futures markets is analyzed through the BEKK-GARCH model. Then, the DCC-GARCH model is used for obtaining the dynamic correlation coefficients of the China-US bean futures markets. Next, the principal component analysis method is chosen to construct a comprehensive investor sentiment index. Lastly, the dynamic impacts between the change in investor sentiment and the correlation of the China-US bean futures price index are discussed through the ensemble empirical mode decomposition and impulse response analysis. The results show that the spillover effect of different degrees and directions exists between the China-US bean futures markets, and the dynamic correlation coefficients among different bean futures are also different. Besides, a certain degree of interactions exists between the high-frequency and low-frequency components of the comprehensive investor sentiment index and the dynamic correlations of bean futures price indexes.