Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression

Chen Liu,Yi An

doi:10.1155/2018/4783214

Abstract

The asymmetrical mutual influence of investor sentiment and the basis of CSI 300 stock index futures under conditions in different market situations was investigated using the quantile vector autoregressive model (QVAR). The article also discussed asymmetrical influence of investor sentiment on the basis under conditions in different investor structures using the quantile regression method. On this basis, we obtained several important conclusions: (1) There exists a one-way causal relationship where investor sentiment has a significant impact on the CSI 300 stock index futures basis in China; the investor sentiment is likely to exert stronger influences on the basis in the chaotic period of the stock market and imposes significant asymmetrical effects. (2) The institutionalized development of investors can reduce the influences of investor sentiment on the basis when the stock market is stable, while it does not play its function in stabilizing the capital market when the stock market is in turmoil. (3) The low institutionalization level, the individualization of institutional investors, and the imperfect short-sales mechanism as a whole are still the sticking problems in the immature capital market of China.

Highlights

The basis of CSI 300 stock index futures is the difference between the CSI 300 spot index and futures index and plays an important role in the information transfer of the capital market
The quantile 25% represents the premium of the futures market, 50% means that the basis is close to 0, and 75% indicates the discount of the futures market
Based on the quantile vector autoregressive model, the research systematically investigates the relationship between the investor sentiment and the basis

Summary

Introduction

The basis of CSI 300 stock index futures is the difference between the CSI 300 spot index and futures index and plays an important role in the information transfer of the capital market. For a long period to come, what the capital market and the theoretical circle both need to systemically consider are the following questions: whether there exists the interaction between the basis of stock index futures and Chinese investors’ sentiment, whether the asymmetrical interaction between investor sentiment and the basis varies in different market situations, and whether the improvement of the institutionalization of the capital market in China is in favor of alleviating the abnormal effects of the investor sentiment on the basis Studying and answering these questions can comprehensively analyze the relationship between investor sentiment and the basis and sufficiently unveil the hedging and pricing efficiencies of the stock index futures market in China. Discrete Dynamics in Nature and Society design, the selected sample data and descriptive statistics are provided in Section 4, Section 5 reveals the results of the empirical analysis on the relationship between the investor sentiment and the basis, and Section 6 draws the conclusions and the inspirations

Literature Review

Hypotheses to Be Tested and Research Design

Sample Data and Descriptive Statistics

Results of Empirical Research

Conclusions and Inspirations