Research On The Effect Of Investor Sentiment On The Spillover Of Volatility Between The CSI300 Stock Index Futures And Spot Market

For more than 30 years,China's capital market has been constantly reformed and innovated.With the emergence of the CSI 300 stock index futures,the development of China's capital market has taken a major step forward.However,as an emerging economy,China's financial market system is not perfect.There are more individual investors in the financial market and most investors have irrational investment behavior.Therefore,individual investor behavior is easy to have an impact on China's securities market,which also leads to more and more significant impact of investor sentiment on the securities market.The stock index futures market has the functions of evading risks and stabilizing stock prices.When used properly,it can escort the spot market.However,there are also a large number of speculators in the stock index futures market,which will exacerbate price fluctuations in the stock market to some extent.Therefore,in order to give full play to the role of the stock index futures,a more in-depth study of the stock index spot and futures market in China is needed.From the perspective of behavioral finance,this article explores the role of investor sentiment in the volatility spillover between the CSI 300 stock index spot and futures market,hoping to accurately grasp the internal operating rules between the three and make stock index futures play a better role.Combined with the research background and based on the relevant literature,this paper firstly analyzes the impact of investor sentiment on the volatility spillover of the stock index spot and futures market based on the current situation of China's stock index spot and futures market,pointing out that high investor sentiment will increase the volatility spillover effect between the two markets.Secondly,this article adopts an effective screening method and selects the trading volume,open interest,turnover rate,volatility and top five net position construction daily,weekly and monthly investor sentiment indicator.Then,this paper empirically analyzes the impact of investor sentiment on the volatility spillover effect of the stock index futures and spot market.In this part of this research,this part firstly explores the relationship between investor sentiment and the abnormal spot market trading volume,and finds that when investor sentiment levels are high,the abnormal spot market trading volume will increase significantly.This result paved the way for the core empirical content of this paper.his result paved the way for the core empirical content of this paper.Subsequently,this part uses the VEC-CCC-GARCH model to explore the role of investor sentiment on the volatility spillover of the two market.It is concluded that when investor sentiment is high,the volatility spillover effect between them is significantly enhanced.Later,the constructed weekly,monthly and BW sentiment indexes are introduced into the model for robustness test,which shows the robustness of the empirical results of this paper and the applicability ofconstructed sentiment indexes.Next,based on the above empirical results,this article uses dynamic VEC-DCC-GARCH to explore the application of investor sentiment in hedging,and concludes that the hedging utility of the portfolio has increased significantly after the investor sentiment index is added.Finally,combined with the research results of this article and the current situation of China's securities market,this paper provides targeted policy recommendations for governments and regulatory agencies.