The Study On Influence Of Forum Abnormal Posting On Impact Cost Of The CSI 300 Stock Index Futures

Since the introduction of the CSI 300 stock index futures, the academic circle has launched many researches. Impact cost reflects the market liquidity, which will seriously prevent the transaction at a reasonable price, which causes the investors to pay more cost, affecting investors’profitability. So, investors have paid more attention to impact cost. At present, because of the rapid development of Internet, network forum has become an important platform to express views and exchange information for investors. The forum usually spreads some false information, which enlarges irrational emotional and price fluctuations, affecting the futures volume. All this might affect the liquidity of futures contracts. So studying the influence that the forum abnormal posting has on the impact cost, can help investors obtain excess returns and reduce unnecessary execution cost by using the rational emotional, provide an effective investment strategy for investors. On the other hand, it provides a guidance to regulate the network construction for regulators, maintain the stability of financial markets, and provide theoretical guidance to reduce the risk.This paper refers to the domestic and international literature of impact cost, measuring impact cost of large transactions based on the high-frequency trading data of the CSI 300 stock index futures. On this basis, this paper calculates abnormal posting based on the posing volume on Eastmoney forum bar about SSE Composite Index. This paper proposes three theoretical hypothesis, abnormal posting quantity can be as a proxy of information dissemination, or the behavior indication of investor sentiment, or the information demand of the pessimistic sentiment under the loss aversion. Then this paper investigates the interaction between the investor abnormal posting and the impact cost of the CSI 300 stock index futures by building binary BEKK-GARCH model. And verify the abnormal posting is consistent with which kind of hypothesis by the empirical results.The empirical results show that, abnormal posting quantity can be as a proxy of the investor sentiment’s behavior indication. The impact cost of selling order and buying order have a mutual influence with abnormal posting volume. The abnormal posting volumes of lag one period and lag two periods have a positive impact on impact cost of sell order. That is to say, the greater volatility of investor abnormal sentiment of lag one period and lag two periods is, the greater the impact cost of sell order that day is. On the contrary, the abnormal posting volumes of lag one period and lag two periods have a negative impact on impact cost of buy order.