Research On Futures Pricing Model Based On Investor Sentiment

Futures are divided into commodity futures and financial futures.The stock index futures which in financial futures has developing rapidly in the futures market in recent years,attracting investors' attention from all over the world.Since the listing of CSI 300 stock index futures,the rapid development has become the object of common concern and research field by theorists and practitioners.This paper studies the futures pricing model based on the CSI 300 stock index futures,which has more realistic significance.There are many factors that affect futures pricing.One of the influencing factors is investor sentiment in behavioral economics.Because of the irrational factors in investor sentiment,it is very difficult for investors in the futures market to predict the future trend of futures prices accurately.This paper analyzes the influence of investor sentiment on the pricing model of stock index futures by the combination of empirical and model methods.This paper empirically studies the impact of investor sentiment on the returns of stock index futures.Several proxy sentiment variables are selected to construct the stock sentiment of the CSI 300 stock index futures and the stock sentiment of the CSI 300 stock index respectively.Through the OLS model,regression analysis was conducted on the yield of continuous-month contracts with these two sentiments respectively.The study found that sentiment has a positive effect on stock index futures returns.The empirical results confirm that investor sentiment has an impact on stock index futures returns.Therefore,a stock index futures pricing model based on homogenous investor sentiment and a stock index futures pricing model based on heterogeneous investor sentiment are used to explore how investor sentiment and other factors affect the stock index futures price.In the model analysis,this article makes new assumptions in terms of the opportunity cost of the margin,transaction fees,etc.,and adds factors such as margin interest and its investment return in other markets,assuming that the transaction fee is a function of the trading volume.These new assumptions make model pricing more effective and closer to the reality of the stock index futures market.Based on the homogeneous investor sentiment index futures pricing model,we analyze the equilibrium price of stock index futures and the equilibrium trading volume that there exists only the same-type investor sentiment in the stock index futures market,and explain the ratio of the margin how to influence the equilibrium price and equilibrium trading volume of the stock index futures.The impact has proved the reason of the trading volume of stock index futures dropped precipitously while the margin ratio of stock index futures trading was greatly increased during the stock market crash in 2015.The index futures pricing model based on the emotion of heterogeneous investors analyzes the choice of equilibrium trading volume and the equilibrium price of two heterogeneous investors with overconfidence in the market when there are both hedgers and arbitrageurs.Both models discuss the impact of various important variables on equilibrium prices and equilibrium trading volume.These researches are closer to the reality of stock index futures and provide new ideas for improving the pricing of stock index futures.