Research On Investor Sentiment And CSI 300 Stock Index Futures Price Discovery

In the futures market,price discovery is the most significant function of stock index futures,which can be said to be the cornerstone of the sustainable development of the futures market.The traditional financial theory does not give an answer to how investors' behavior affects the price discovery function of the futures market,because the traditional classical model of market microstructure ignores the influence of investors' psychological factors.However,under the framework of behavioral finance,investors' behavior is closely related to the price of assets and the normal operation of the market.The emergence of behavioral finance enables us to study the discovery function of stock index futures market price from a new perspective.This paper uses qualitative and empirical analysis to analyze how investor sentiment affects the price discovery function of stock index futures market.First of all,this paper introduces the development of stock index futures and behavioral finance,explains the necessity of studying the price discovery function of Shanghai and Shenzhen 300 stock index futures based on investor sentiment,and then collates the relevant literature about investor sentiment and price discovery function of stock index futures at home and abroad,so as to combine the relevant theories of financial market to improve the function of investor sentiment and price discovery of stock index futures Then,from the perspective of transaction cost and information,we use VEC model,is model and Pt model to do empirical research on investor sentiment and price discovery function of futures market.The results show that in the period of high investor sentiment,higher arbitrage risk and transaction cost are caused,which will reduce the leading role of futures market in price discovery and the contribution of price discovery.Finally,the paper summarizes the research results and puts forward relevant policy recommendations.