Study On The Influence Of Investor Sentiment On Volatility Spillover Effect Between Stock Index Futures And Spot Markets

The relationship between futures and spot have been a key concern in the field of stock index futures research in recent years after the releasing of Chinese CSI 300 Stock Index futures.It provides an open,transparent and efficient trading mechanism with authoritative prices,and they can also provide investors with a near-term and forward hedging mechanism that allows them to control their trading risks to a certain extent.However,the hedging function of index futures has led to the inclusion of many irrational speculators,which has increased the volatility of stock prices.Therefore,to take full advantage of the role of index futures,it is necessary to study in depth the interrelationship between the stock index futures market and the spot market.And investor sentiment,which represents behavioral finance in recent years,has been confirmed by most scholars as one of the influencing factors of stock market volatility.Most previous studies on futures markets have focused on the relationship between stock index futures and the spot market,but have not combined behavioral finance with it.Therefore,this paper examines the volatility spillover effect between stock index futures and the spot market in the context of investor sentiment.First,we review the classic domestic and international literature from three aspects:research on volatility spillover effect,research on investor sentiment,and research on the impact of investor sentiment on market volatility.Secondly,we define the core concepts of investor sentiment and volatility spillover effect,as well as the efficient market theory,behavioral finance theory and information transmission theory.Then,based on the relevant theories and the influence mechanism,four research hypotheses are proposed based on the positive and negative direction of the influence of investor sentiment on the volatility spillover effect between the futures and spot markets,the asymmetry of the volatility spillover effect of stock index futures and spot affected by sentiment,and the difference in the influence of investor sentiment before and after restrictive policies.The research design is based on three aspects: variable selection and measurement,data source,and econometric model construction.Again,the daily frequency trading data of CSI 300 stock index futures and spot from April 16,2010 to December 31,2021 in China are used as the research object.Objective indicators are selected as source indicators for constructing investor sentiment,and the two-way dynamic volatility spillover index between stock index futures market and spot market is measured based on the generalized variance decomposition spillover index theory with reference to the DY spillover index.Finally,by constructing a multiple linear regression model,we analyze the positive and negative relationship between investor sentiment and the two-way volatility spillover effect in the stock index futures and spot markets and the degree of impact,and analyze whether restrictive policies lead to different conclusions on this effect.The results show that(1)investor sentiment is significantly negatively related to the volatility spillover effect from the spot market to the futures market,i.e.,the spot market volatility spillover effect becomes weaker when sentiment is higher.(2)Investor sentiment is negatively correlated with the volatility spillover effect from the futures market to the spot market,i.e.,the futures market volatility spillover effect becomes weaker when sentiment is high.(3)The positive and negative relationship between investor sentiment and the volatility spillover effect from the spot and futures markets before and after the restrictive policy remains unchanged and inversely proportional,but the effect of investor sentiment on the volatility spillover effect becomes larger after the restrictive policy.