Application Of The Volatility In The Stock Index Futures Trading Strategies In

This paper explores the impact of trading strategy in a lead-lag relationship betweenfutures and spot markets, and investor sentiment index. We use daily returns data from theHS300Index, HS300Index Futures during the period2012-2013and consider theabnormal risk or abnormal rang as an indicator of investor sentiment. In this case conductsthe unit root tests, cointegration analysis, vector error-correction, vector auto regression,the Granger causality test, impulse response analysis, and forecast error variancedecomposition to reveal the effects of the lead-lag relationship among markets. We find along-term trend exists among the markets and that HS300Index Futures exhibitsmarket-leading effects, and find stronger relationship between sentiment and market returnby using daily data in the short run but week evidence in case of long run. Note that whenabnormal sentiment appeared in the market, operating in the same direction as the leadingmarket and covering on the third and fourth days led to positive total returns which showsthat as the market information interpretation of various investors suddenly changes,suggesting the need to distinguish these types of abnormal risk in trading strategy.