An Empirical Study On The Hedging Rate Of Stock Index Futures Based On Investor Sentiment ——Take SSE 50 And CSI 500 As Examples

The traditional hedging theory of stock index futures holds that market participants are rational traders.In recent years,the theory of behavioral finance has been continuously improved and developed.There are more and more research articles about behavioral finance,especially investor sentiment.The existing empirical studies and literature show that investors are not all rational.Investor sentiment plays an important role in the financial market.As a part of the financial market,stock index futures market is also affected by investors Therefore,it is necessary and practical to consider investor sentiment in the study of hedging in stock index futures market.On April 16,2015,the introduction of the SSE 50 stock index futures and the CSI 500 stock index futures further enriched the futures of China's stock index futures market.There are few studies on investor sentiment in the futures market,especially in SSE 50 stock index futures market and the CSI 500 stock index futures market,and the hedge ratio calculated by the traditional hedge model in the existing literature is basically between 0.8-0.9.This paper first introduces the related theories of behavioral finance,especially the theoretical research on investor sentiment and the hedging theory and model of stock index futures market,then constructs the sentiment indexes of the SSE 50 stock index futures market and CSI 500 stock index futures market through the principal component method: VOL,OIC,BSI and PSY index,and the real market trading data of the SSE 50 stock index futures market and the CSI 500 stock index futures market from April 16,2015 to September 30,2019 are respectively divided into three different investor sentiment levels,i.e.high investor sentiment,relative investor sentiment and low investor sentiment after a series of processing.Finally,in the empirical part of this paper,we use the bivariate vector autoregressive model(B-VAR model),the error correction model based on cointegration relationship(ECM model)and the generalized autoregressive conditional heteroscedasticity model(GARCH model)to estimate the hedging rate of the SSE 50 stock index futures market and the CSI 500 stock index futures market.Finally,we use the income variance method to estimate measure and compare the hedging effect of the three models.This paper finds that the calculated hedge ratio,considering the investor sentiment,is basically above 0.9,which is better than the traditional hedge model(0.8-0.9,This is also confirmed in the process of empirical study)and the hedge effect is better.ECM model is relatively suitable to calculate the hedging rate of the SSE 50 stock index futures market and spot market when investor sentiment is in the high stage or the low stage,and B-VAR model is relatively suitable to calculate the hedging rate of the SSE 50 stock index futures market and spot market when investor sentiment is in the relatively rational stage Period hedging rate: for the CSI 500 stock index futures market and the spot market,ECM model is relatively suitable to calculate the hedging rate of the CSI 500 stock index futures market and the spot market,regardless of whether the investor's mood is in the high stage or the investor's mood is in the low stage or the investor's mood is in the relatively rational stage,and the ECM model is relatively suitable to calculate the hedging rate of the CSI 500 stock index futures market and the spot market When the investor's mood is low,the effect of using ECM model to hedge is better than using ECM model to hedge when the investor's mood is relatively rational.This also shows that when investors are in low mood or relatively rational,it will not be easy for hedgers to get a good hedging effect in the market due to the influence of investors' low mood,which may be caused by different attitudes of hedgers to the same fluctuation range.