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Disagreement on sunspots and soybeans futures price

Author

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  • Wang, Hanjie
  • Feil, Jan-Henning
  • Yu, Xiaohua

Abstract

Disagreement on information could cause market price volatilities through the channels of gradual information flow, limited attention, and heterogeneous priors. High food price volatilities could incur severe welfare loss. This paper analyzes the effect of sunspots on the volatility of soybeans futures price in a framework of the disagreement theory. Empirically, we use the monthly time series datasets of soybeans futures price and sunspots activities from 1988-2018 to investigate how sunspots affect the volatilities of soybeans futures price by estimating the GARCH, GJR-GARCH, and Markov-switching GARCH models. Our findings can be summarized as: (1) extremely low sunspot activity could lead to both a high level and a high volatility for soybeans futures price; and (2) when considering regime changes, the disagreement level is nonlinear in the high volatility regime in which the high price volatility exists on both extremely low and high sunspot activities.

Suggested Citation

  • Wang, Hanjie & Feil, Jan-Henning & Yu, Xiaohua, 2021. "Disagreement on sunspots and soybeans futures price," Economic Modelling, Elsevier, vol. 95(C), pages 385-393.
    • Handle: RePEc:eee:ecmode:v:95:y:2021:i:c:p:385-393
    DOI: 10.1016/j.econmod.2020.03.005
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    More about this item

    Keywords

    Disagreement; Sunspots; Investors’ behaviors; Soybeans futures price;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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