基于股指期货的投资者情绪对中国股市影响的实证研究The Empirical Research on the Effect of Investor Sentiment for the Stock Market of China Based on Stock Index Futures

Finance ◽  
2012 ◽  
Vol 02 (03) ◽  
pp. 151-154
Author(s):  
潘 永泉
Keyword(s):  
Stock Market ◽  
Empirical Research ◽  
Investor Sentiment ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures

scholarly journals Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression

2018 ◽  
Vol 2018 ◽  
pp. 1-13 ◽  
Author(s):  
Chen Liu ◽  
Yi An
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Capital Market ◽  
Mutual Influence ◽  
Investor Sentiment ◽  
Stock Index ◽  
Stock Index Futures ◽  
Short Sales ◽  
Index Futures ◽  
Quantile Regression Method

The asymmetrical mutual influence of investor sentiment and the basis of CSI 300 stock index futures under conditions in different market situations was investigated using the quantile vector autoregressive model (QVAR). The article also discussed asymmetrical influence of investor sentiment on the basis under conditions in different investor structures using the quantile regression method. On this basis, we obtained several important conclusions: (1) There exists a one-way causal relationship where investor sentiment has a significant impact on the CSI 300 stock index futures basis in China; the investor sentiment is likely to exert stronger influences on the basis in the chaotic period of the stock market and imposes significant asymmetrical effects. (2) The institutionalized development of investors can reduce the influences of investor sentiment on the basis when the stock market is stable, while it does not play its function in stabilizing the capital market when the stock market is in turmoil. (3) The low institutionalization level, the individualization of institutional investors, and the imperfect short-sales mechanism as a whole are still the sticking problems in the immature capital market of China.

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

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