重大突发公共卫生事件、投资者行为与玉米期货价格发现功能——以新冠疫情为例  

Major Public Health Emergencies, Investor Behavior, and the Discovery Function of Corn Futures Prices——Take the COVID-19 as an Example

作　　者：李金沙 熊晓炼[1] LI Jin-sha;XIONG Xiao-lian(School of Economics,Guizhou University,Guiyang 550025,Guizhou)

机构地区：[1]贵州大学经济学院,贵州贵阳550025

出　　处：《江苏商论》2024年第7期12-17,共6页Jiangsu Commercial Forum

基　　金：贵州省2019年度哲学社会科学规划课题(编号:19GZYB14)。

摘　　要：为考察重大突发公共卫生事件对投资者行为与玉米期货价格发现功能的影响,本文运用熵权法构建新冠疫情发展不确定指数。采用主成分分析法,以考虑投资者关注度与交易情绪的综合影响为切入点,构建一个准确刻画玉米市场中投资者行为的综合指数。基于2020年1月—2022年1月的月度数据,运用VAR模型、脉冲响应函数及方差分解等方法探究重大突发公共卫生事件、投资者行为与玉米期货价格发现功能之间的关系。研究发现,新冠疫情爆发后短期内对投资者行为及玉米期货价格发现功能产生显著负向影响,干扰价格发现功能的正常发挥;投资者行为对玉米期货价格发现功能存在短期正向影响;新冠疫情对玉米期货价格发现功能的影响存在投资者行为中介效应。In order to investigate the impact of major public health emergencies on investor behavior and the price discovery function of corn futures,this paper uses the entropy weight method to build an uncertainty index for the development of COVID-19 epidemic.Using principal component analysis,taking into account the comprehensive impact of investor attention and trading sentiment as the starting point,we construct a comprehensive index that accurately characterizes investor behavior in the corn market.Based on monthly data from January 2020 to January 2022,this study explores the relationship between major public health emergencies,investor behavior,and the discovery function of corn futures prices using VAR models,impulse response functions,and variance decomposition methods.The study found that the COVID-19 outbreak had a significant negative impact on investors'behavior and the price discovery function of corn futures in the short term,interfering with the normal functioning of the price discovery function;Investor behavior has a short-term positive impact on the discovery function of corn futures prices;The impact of COVID-19 epidemic on the price discovery function of corn futures has an intermediary effect of investor behavior.

关 键 词：重大突发公共卫生事件 投资者行为 玉米期货价格 价格发现功能 

分 类 号：F71[经济管理—产业经济]