Proceedings of the 2025 5th International Conference on Business Administration and Data Science (BADS 2025)

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The Transmission Mechanism of Sentiment from Securities Futures Market to Spot Market

Authors
Bo Zhang1, Xuehua Wei1, *
1Economics and Management School, Xi’an University of Technology, Xi’an, 710054, China
*Corresponding author. Email: 2408737714@qq.com
Corresponding Author
Xuehua Wei
Available Online 26 December 2025.
DOI
10.2991/978-94-6463-980-3_11How to use a DOI?
Keywords
Futures market investor sentiment; Spot market investor sentiment; VAR; Mediating effect
Abstract

This study aims to explore the mutual influence between securities futures market investor sentiment and spot market investor sentiment, along with its underlying mechanisms. First, by establishing a VAR model, we find that investor sentiment in securities futures markets exerts a negative effect on sentiment in spot markets. Second, by introducing three mediating variables—futures market liquidity, futures market returns, and futures market speculative activity—we investigate the transmission mechanism of investor sentiment contagion between securities futures and spot markets. The findings reveal that these three intermediary variables play a partial mediating role in the influence of investor sentiment in the securities futures market on that in the spot market. Specifically, investor sentiment in the futures market influences spot market sentiment by acting through these mediating variables. However, the direct effect of futures market sentiment on spot market sentiment remains greater than the mediating effects exerted by these variables in the transmission process.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2025 5th International Conference on Business Administration and Data Science (BADS 2025)
Series
Advances in Computer Science Research
Publication Date
26 December 2025
ISBN
978-94-6463-980-3
ISSN
2352-538X
DOI
10.2991/978-94-6463-980-3_11How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Bo Zhang
AU  - Xuehua Wei
PY  - 2025
DA  - 2025/12/26
TI  - The Transmission Mechanism of Sentiment from Securities Futures Market to Spot Market
BT  - Proceedings of the 2025 5th International Conference on Business Administration and Data Science (BADS 2025)
PB  - Atlantis Press
SP  - 94
EP  - 108
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-980-3_11
DO  - 10.2991/978-94-6463-980-3_11
ID  - Zhang2025
ER  -