Research On The Relationship Between Investor Sentiment Of CSI 300 Stock Index Futures And Stock Index Futures Market

Entering the new period,China's economic development continues to accelerate.With the promotion of economic strength,China's financial market has become more prosperous,and the stock index and futures market has also made great progress,and the size of the transaction is increasing year by year.From the time of listing to September 2017,the total trading volume of CSI 300 stock index futures was approximately RMB 855 trillion.The stock index futures are the derivatives of the stock index.Therefore,there is a strong correlation between the current market and the stock index and it has a certain role in the steady development of the stock market,which can effectively prevent the stock market from shock.Before 2010,the maximum volatility of the stock market was more than 4,000 points.After the 2010 stock index futures was listed,the stock market's maximum volatility was around 1300 points.In recent years,as behavioral finance continues to win popularity,many articles are based on behavioral finance theory,and explore the relationship between investor sentiment and financial market from the perspective of investor sentiment,especially the stock market,but for the stock index futures market,which is closely related to the stock market,there is less analysis.The most of stock index futures investor sentiment are measured only by indirect variables and monthly data.By combining the theoretical results and empirical studies of previous studies,first,using the classical principal component method to construct investor sentiment by measuring transaction data and technical data of the CSI 300 stock index futures and using text mining technology,taking off the relevant comments on investors' stock index futures on the Internet,and using the software to segment words,counting the number of emotional words,forming text sentiment and making it join the principal component analysis,to construct the investors sentiment of CSI 300 stock index futures.Then,we use TVP-VAR model to analyze the relationship between investor sentiment of stock index futures market,stock market and stock index futures market.And it tests the time-varying of investor sentiment of stock index futures and stock market.Research shows:first,the investors sentiment index of stock index futures added with text variables is better than investors sentiment index without text variables,and the correlation with CSI 300 stock index futures index was higher.It shows that using text data on the Internet to add it to the construction of investor sentiment of stock index futures has certain significance.Secondly,the investor sentiment of stock index futuresis obviously time-varying,embodying that in the rising period of stock index futures market,there is a positive response,when the stock index futures market falls,most of them produce negative responses and in the period of slow fluctuation,the response of stock index futures investor sentiment also fluctuated near zero value.The stock market also has some time varying and the direction is basically positive,embodying that in the rising period of stock index futures,the impact response degree is small and the stock index futures market has a strong response to the stock market.Finaly I suggest that we should stabilize investor sentiment and pay attention to the change of investor sentiment in short term,and more attention should be paid to the impact of the stock market for a long time.In the rising stage of stock index futures,we should pay attention to stabilizing the investor sentiment of stock index,and more attention should be paid to the trend of stock market in the period of decline and fluctuation.So as to stabilize the stock index futures market and promote the development of stock index futures market.