An Empirical Study Of The Impact Of Investor Sentiment On The Volatility Of Stock Index Futures Prices

Since mid-April 2015 the CSI 500 stock index futures and the SSE 50 stock index futures had been traded on the market, the phenomenon of deeper discount in many varieties of stock index futures to dominate the market for a long time appeared. The discount rate of the CSI 300 index futures main contract IF 1507 constantly refreshed the record, once the highest reached 231.20 points. The market was once very pessimistic, and growing. Even if the government promulgated bailout policies in September, the stock market was in the pattern of slow recovery among the generally stable trend, but the premium of transactions three major stock index futures still continue, till the end of 2016. Investor panic sentiment and the deep premium interacted and worsened, ultimately making investors suffer heavy losses, the national economy be severely wounded. Therefore, this paper proposes the following views: investor sentiment is an important factor affecting the stock index futures premiums and discounts amplitude.In order to demonstrate this view, literature review section will sort out the existing literatures of investor sentiment and stock index futures price volatility. On this basis,first sum up the common indicators of domestic and foreign scholars to build investor sentiment index, and then briefly summarize factors that caused stock index futures price volatility.Finally review the previous research on the proposition of how can investor sentiment impact stock index futures.Theoretical part firstly explored the five main reasons caused the deep discount of stock index futures in China this time, and divided them into short-term factors and long-term factors. Long-term influence factors include the stock index itself, seasonal dividends and defective reverse arbitrage mechanism; policy control and investor sentiment are short-term disturbance factors. The analysis found that the long-term influence factors are not the main reason, so this paper would mainly study the impact of short-term disturbance factors.I In the empirical research part, this article used the relevant trading data of PSY, the CSI 300 index exchange rate, the trading volume of the CSI300 index futures and the organization's input from April 2015 to December 2015, with reference to the domestic and foreign classic research in measuring investor sentiment index, constructed a suitable investor sentiment index of China's stock index futures market during this special time and explored its properties. Then analyzed whether the sentiment index is an important factor on the CSI 300 stock index futures contract basis and price volatility. Next, the VAR model is used to verify the assumption that the theoretical part puts forward firstly. The short-term perturbation factors such as policy and investor sentiment actually cause the volatility of the basis, but the expansion of the basis is mainly caused by itself in a long-term. The impact of the policy will make the basis into convergence region. And the investor sentiment has a double-sided impact and time-lag on the basis. Finally the TGARCH model is used to construct the theoretical model to measure the price volatility of stock index futures in China. By respectively substituting the investor sentiment indexes or the virtual variable policies for a comparative analysis, further measured the magnitude of contango rate on the stock index futures caused by investor sentiment as well as the impact of policy on the management and control of stock index futures price discovery function.By the empirical study we can get the following conclusions: Long-term influence factors including seasonal dividends and reverse arbitrage mechanism are not the main reason causing the current round of deep discount. Investor sentiment indeed exacerbated the CSI 300 index futures price volatility, but its influence is weak. The stock index futures market has the phenomenon of the "leverage effect" of information, that is to say the influence of negative information was severer than positive ones, and actually investor sentiment is not rational. While directly curbing the volatility of futures prices, policy also has indirectly affected futures prices by reducing the volatility of investor sentiment. But the national policy on the stock index futures market presented unreasonable.Finally combining the results of the study, sum up the causes of China's deep discounts in stock index futures in 2015, and put forward relevant policy recommendations on both the improvement of pricing efficiency on the stock index futures market and government's reasonable market regulations.