In recent years, with the deepening of the financialization of commodities, the influence of crude oil prices and investor sentiment on the returns of soybean futures has become increasingly significant. This paper conducts an empirical analysis of daily data from 2020 to 2025. Through principal component analysis, a comprehensive investor sentiment index is constructed, and a time-varying parameter vector autoregression (TVP-VAR) model is adopted. The research results show that the current period's crude oil prices have a mainly positive impact on the returns of soybean futures, followed by a similar negative adjustment with similar amplitudes, and the transmission direction varies in different market conditions. The direction of the impact of investor sentiment on the returns of soybean futures shows alternating positive and negative fluctuations. During extreme events such as the pandemic, the intensity of the negative impact is significantly amplified. Based on the above research conclusions, it is recommended that investors promptly assess the risk of their positions on the day when oil prices fluctuate sharply, and actively reduce their positions in extreme situations. Enterprises should lock in energy costs through crude oil futures and diversify their sources of soybean imports. Regulatory authorities suggest including sentiment indicators in daily monitoring to prevent excessive speculation.

Naiqiong Ke, Xin Liao, Jiayi Zhao. An Empirical Study on the Impacts of Crude Oil Prices and Investor Sentiment on Soybean Futures Returns. Academic Journal of Business & Management (2026), Vol. 8, Issue 8: 79-86. https://doi.org/10.25236/AJBM.2026.080810.

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