The Influence Of Investor Sentiment On The Function Of Stock Index Futures Price Discovery

The CSI300 futures market is China's first financial futures market.Its price discovery function is the most important function of the market.It is the basis for hedging and risk avoidance.It has the function of reflecting new information and guiding investors.Pay attention to it,so studying the influencing factors of its price discovery function is of great significance for maintaining the stable operation of the stock index futures market and even the entire capital market in China.Investor sentiment is a key research direction of behavioral finance in recent years.It has been proved to have a significant impact on stock returns,stock market volatility,bond financing costs and futures pricing bias.The stock index futures market and the stock market operate in a similar way and are closely related to each other.Based on this,this paper explores the impact of investor sentiment on the price discovery function of the CSI300 futures markets.This paper firstly combs the past literature,determines the theoretical basis and empirical methods of the article,and secondly,uses several single emotional agent indicators to construct the futures market of the CSI300 corresponding to the spot market through principal component analysis.Investor sentiment indicators,again,using the 1 minute high frequency closing price of stock index futures and spot through the vector error correction model and the Modified information share model,respectively,test the price discovery and price contribution of the futures market and the index market during the sample period.And calculated the daily price contribution of the stock index futures market,and finally verified the influence of investor sentiment on the price discovery function of the CSI300 futures market by constructing multiple regression equations.The empirical results show that both the stock index futures and the spot market have the function of price discovery.The prices of the two markets are mutually guided,but the price contribution of the futures market is higher and it has a more dominant position in price discovery.Investor sentiment has a significant negative impact on the price discovery of the futures market,that is,the higher the investor sentiment,the more unfavorable the realization of the price discovery function of the stock index futures.Based on the empirical results,this paper puts forward four suggestions:(1)Improve the supervision of the stock index futures-spot market,(2)Strengthen the education of investors'professional knowledge,and(3)Improve the futures company's credit information system by means of big data.(4)Strengthen the role of institutional investors in the market.Through the above suggestions,we can improve the irrational situation of investors' sentiment in the market,thus ensuring the smooth realization of the price function of the stock index futures market.