The Volatility Research Between Discount&premium Of Index Structured Fund And Investor Sentiments

Rating fund as a new force of the capital market in our country,since 2007 entering the Chinese market has won the favour of individual and institutional investors.Its unique hierarchical structure makes it have different risk and return in a single product structure,the flexible trading way also rapidly active on the secondary market,which can satisfy different risk preferences of investors.Just as that,although rating fund,in our country,only exists for a short span of 10 years,but has obtained the remarkable achievements,especially in the bull market in 2015,it won the staggering growth of the size of its development.Rating fund also has created the layered structure with its unique mechanism,and the unique mechanism also produce it the discount premium phenomenon for its different child share.In around 2015,when the stock market appears sharp fluctuations,the classification of the fund market price and discount premium also revealed a drastic fluctuations,especially grade B share,due to its leveraged,magnified its price fluctuation range,which also cause severe changes of investor's sentiments and even cause the panic market mood.Index rating fund price fluctuations,on the one hand,rely on the underlying market price changes,on the other hand,rely on its own in the secondary market changes.And the market price changes is affected by the market sentiment,therefore,this article through to research the volatility relationship between investor sentiment and the rating fund discount premium rate,in order to clarify the direction of the wave transmission between them,and proposed some suggestion for the whole of the development and stability of financial markets.This article first to the classified the rating fund as well as investor sentiment related literature,determining the research question and theoretical basis,and summarize the study of volatility spillover effect to determine the empirical method;Then,using principal component analysis(PCA)to build the composite sentiment index that can represent the mood,and use it as a variable by multivariate BEKK-GARCH model to research the volatility spillover effect between the rating fund discount premium and investor sentiments.Research results show that share A and share B do exist the volatility spillover each other,but share B was more vulnerable to the effects of share A in short time.There are interaction relationship between Investor sentiment with share B's fold premium.The swings of Market sentiment can significantly influence the secondary market price changes of share B,then affecting its premium changes,no matter on short term or the long time.Meanwhile,Share A's premium although exists volatility spillover effect with investor sentiment,but the significant extent compared with share B are much lower.Through the analysis of empirical conclusions,this paper aims to suggest that the government and regulators to strengthen the related theory education to investors,at the same time,in the market turmioil to reason the sentiment dredge,meanwhile,in structured finance products and grading on the fund operation mechanism innovation,dispersed investor's investment demand,so as to decrease the probability of systemic risk.