The Research On The Relationship Between Investor Sentiment Under The Influence Of Short Selling Restrictions And CSI 300 Stock Index Futures

After entering the 21 st century,the rapid rise of China's economy has caused dramatic changes in the world economic structure,which will inevitably lead to changes in world trade rules and world pricing systems.With the development of the economy,China's futures market has achieved remarkable achievements since it ended its reorganization and reorganization in 2001.China's enterprises need transnational development and participate in international competition.In this process,there is an urgent need for more and more.A number of derivatives tools to manage risk.As one of the important tools for business management risk,the futures market has been widely used by overseas companies.With the vigorous development of China's futures market,Chinese companies are increasingly aware of futures in the face of increased external risks.The importance of the market.According to China's national conditions,after the launch of China's securities market,short-selling of a single stock has been given extremely strict regulation.The stock price often fluctuates greatly,and the market systemic risk is huge.After the 2015 stock market crash,the China Financial Futures Institute issued new regulations to limit short selling to save the market.In recent years,finance has become more and more popular.Many scholars have studied this.Many scholars analyze behavioral finance theory from the perspective of investor sentiment,so as to study the relationship between investor sentiment and financial market.However,the stock index futures market is closely related to the stock market as a derivative market,but there are very few researchers.Therefore,since the stock index futures market does not specifically study investor sentiment,it can only be measured by indirect variables.This paper mainly studies the investor sentiment in China's stock index futures market.Firstly,it constructs a reasonable investor sentiment index suitable for China.The index selection time lasts about four and a half years,starting from the second half of 2014 and ending at the end of 2018.The selection of data samples mainly includes four types of Shanghai and Shenzhen 300 stock index futures.In the research process,the classic measure of investor sentiment index is used as a reference.Secondly,the investor's sentiment index is analyzed.The sentiment index will have an impact on the financial market,mainly reflected in the CSI 300 stock index futures contract basis and stock.price.In order to verify the hypothesis of the theoretical part,this paper uses the VAR model and the TGARCH model.First,according to the research,we have come to an interesting conclusion,that is,the leverage effect of information.When the stock market develops better,the investor's response is more general,but when the stock market is relatively sluggish,the investor's response is strong.This shows that investors are not rational enough.Second,the suppression of short-selling restrictions on futures price changes is mainly achieved in two ways.On the one hand,it can directly inhibit fluctuations,on the other hand,it can directly stabilize investors.Emotions,indirectly converge on futures prices.Third,when studying the impact of investor sentiment on the volatility of CSI 300 stock index futures,the overnight index swap rate(OIS)replaced LIBOR,making the empirical analysis more general and more reliable.