An Empirical Study On Investor Sentiment And My Country’s Treasury Bond Futures Yield And Volatility

With the increase of the scale of China’s real economy,the requirements for the virtual economy are increasing daily,and the financial market is constantly facing new challenges.The stability of the treasury bond market is of vital importance to the financial industry,and treasury bond futures came into being.As a hedging tool for treasury bonds,its development was not smooth sailing.So far,my country has successively listed medium,long and short-term treasury bond futures trading varieties.With the increase of contract varieties and the expansion of transaction scale,treasury bond futures are increasingly playing an irreplaceable role in my country’s financial market.Traditional financial theory believes that investors are completely rational,but in reality,investors in the securities market are emotional and emotional people.This paper takes five-year and ten-year treasury bond futures as the research object,and selects treasury bond futures.The market-related indicators construct a comprehensive index of investor sentiment through principal component analysis as the investor sentiment variable in this paper.From an irrational perspective,we discuss the impact of investor sentiment on the yield and volatility of treasury bond futures.The following are the main conclusions drawn from this paper:First of all,the quantile regression model is used to analyze the impact of investor sentiment on treasury bond futures market when studying the relationship between investor sentiment and the yield of treasury bond futures.It is found that investor sentiment has a positive impact on the overall yield of treasury bond futures,but the performance varies in different market atmospheres.When the overall market is down,the impact of sentiment is more significant than that of a positive market,especially in extreme markets.In times of euphoria,Treasury futures yields are uncorrelated with investor sentiment.Moreover,the difference between the performance of investor sentiment in the medium and long-term market shows that the impact of investor sentiment on the long-term market yield is more significant.Then,when studying the relationship between investor sentiment and treasury bond futures volatility,the realized volatility is taken as the research object,and bringing investor sentiment into the HAR-RV model.The results show that the volatility of treasury bond futures has long-term memory,and future volatility is affected by past volatility.Investor sentiment is inversely correlated with changes in Treasury futures volatility,and this effect is more pronounced in longer-term markets.This paper differentiates sentiment into optimism and pessimism to verify the leverage effect.The results show that there is a significant leverage effect in the five-year treasury bond futures market.The futures market brought greater volatility,while the 10-year Treasury futures market showed negative leverage.Finally,by introducing investor sentiment into the jumping volatility model and the good-bad volatility model,the results show that the volatility of the treasury bond futures market affected by mood swings is effective and stable,and there is an obvious jumping phenomenon in the treasury bond futures market.The asymmetric effect of bad volatility is not significant.Finally,this paper compares the forecasting effects of different volatility models,and concludes that the HAR-RV-CJ-M model has the best forecasting performance.