Professor Zhang Qunzi from the School of Economics Publishes Latest Research as Sole Author in International Authoritative Journal Journal of Financial Markets
Recently, the research paper Commodity sentiment in predicting index futures returns written by Professor Zhang Qunzi from the School of Economics at Shandong University as the sole author was published online in Journal of Financial Markets (JFM), an international authoritative finance journal. JFM has long published high-quality theoretical and empirical research in the financial field, covering asset pricing, investment, capital and securities markets, etc., and is recognized as an international authoritative journal in this field by the academic community.
This paper studies the impact of commodity sentiment on S&P 500 index futures returns. Based on machine learning methods, Professor Zhang Qunzi extracted information from nearly two million commodity-related news texts from nine major international newspapers to construct a commodity sentiment index. The study finds that commodity sentiment has significant predictive power for S&P 500 index futures returns. In addition, the study also finds that asset allocation strategies constructed based on commodity sentiment can bring considerable economic returns, showing the important value of this sentiment indicator in investment practice. Meanwhile, commodity sentiment mainly affects index futures returns through the discount rate channel, revealing the internal connection between sentiment and macro risk premium. This research provides systematic evidence for financial market participants and academia on the relationship between "commodity market sentiment - index futures returns" and expands the research perspective of investor sentiment and asset price dynamics.
Zhang Qunzi is a professor, doctoral supervisor and Vice Dean of the School of Economics at Shandong University. She is the host of the National Natural Science Foundation for Excellent Young Scholars, the person in charge of national and provincial first-class undergraduate courses, the person in charge of the "Double Leaders" Party Branch Secretary Studio of National University Party Branches under the Ministry of Education and the "Powerful Country Tour" special action, a Top Financial Talent of Shandong Province, an Outstanding Young and Middle-aged Scholar and Qilu Young Scholar of Shandong University. She obtained her Ph.D. in Finance from the University of Lausanne and the Swiss Finance Institute, and her doctoral dissertation won the Excellent Dissertation Award of Vaud, Switzerland. Her papers have been published in international first-class journals such as Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Management Science, Journal of Money, Credit and Banking, Journal of Financial Markets, and Journal of Futures Markets. She serves as Associate Editor of China Finance Review Quarterly, Journal of Futures Markets, International Journal of Finance and Economics, and Editorial Board Member of Energy Nexus and The Innovation.
2025.9.03
