Research On The Impact Of Inverstor Sentiment On Pricing Bias Of Stock Index Futures

In 2015,China's stock market experienced a rare situation of sharp rise and fall.In the course of the stock market decline,stock index futures suffered an unprecedented blow.The CICC has issued a series of policies to limit stock index futures trading in the past two years.CICC has gradually relaxed restrictions on stock index futures trading.So under different market conditions,whether stock index futures pricing bias continues to exist?What factors are affected?Will investor sentiment affect stock index futures pricing bias?This paper intends to make corresponding research on these problems.In the introduction,this paper makes a detailed elaboration of the research significance of this article,and then from the connotation of investors 'sentiments,measurement and its impact on the stock market,The existence of pricing bias of stock index futures and the influence of influencing factors and investor sentiment on pricing bias of stock index futures are three aspects.Afterwards,through the analysis of stock index futures pricing theory,based on the research of scholars,speculative activity,market liquidity and market volatility are intermediate variables.This paper considers that the investor's mood influences the speculative activity,market liquidity,market volatility and then the pricing deviation of stock index futures.Next,using holding cost model,through the theoretical price measurement of stock index futures,and then to measure the stock index futures pricing deviation,the results show that there is a general stock index futures pricing deviation in the study range.According to the policy changes in the interval studied in this paper,the data is divided into two stages in the empirical study:the restricted transaction stage and the restricted release stage.By constructing the VAR model,the Granger causal test,the pulse response analysis,and the variance decomposition model,respectively,Empirical test of the effect of investor sentiment on index futures pricing bia.s in different market conditions.It is found that investors 'mood can influence the index futures pricing bias by influencing the volatility of the market.In the release stage of restriction,investor sentiment can affect the index futures pricing bias by positively affecting speculative activity,market liquidity,and m,arket volatility.Comparing the two stages of the study,it can be found that because the investor's mood is generally lower than the limit lifting stage,the price deviation of the limit trading stage is also less than the limit lifting stage.Speculative activity,market liquidity,and market volat:ility will affect the pricing bias of stock index futures,indicating that China's futures market is not a completely effective market and can not reduce the pricing bias of stock index futures through arbitrage trading.Finally,based on the empirical results of the analysis,investors and regulatory departments respectively put forward suggestions to make China's futures market more effective.