An Empirical Study On The Relationship Between Investor Sentiment And Gold Futures Volatility Based On Mixed-frequency Model

With the accelerating pace of financial globalization,the competition among financial markets in the world has become increasingly fierce,and the transfer speed of information and risk between markets has also increased significantly.The outbreak of the financial crisis in the United States in 2008 has made the stability and security of the world financial system face a huge threat.Due to the outstanding function of gold to preserve and avoid risks,the global gold investment transaction has become extremely active.In 2002,China formally started the spot trading of gold,and the Shanghai gold exchange was established.However,in the current economic situation,the spot gold that has been officially listed and publicly traded is far from meeting the needs of domestic investors,no matter for the purpose of risk aversion or value-added.On January 9,2008,China's gold futures was officially listed and traded on the Shanghai Futures Exchange.This historic measure filled in the blank of no gold futures in China's financial market for a long time,and further satisfied the demand of investors in the financial market to seek for hedging,which not only increased the diversity of investment,dispersed risk,but also increased the profit-making Possibility.According to the view of "limited rationality" in behavioral finance,investors in the market,due to the limitations of investors' own understanding and the influence of various irrational factors such as individual physiology,psychology and environment,always show the characteristics of deviation from rationality in their behavior and decision-making.Emotion,as a subjective variable,plays an important role in behavior and decision-making,and its influence in financial market has also attracted more and more researchers' discussion and exploration.Individual investors come from thousands of consumers after all,so on the basis of existing research,this paper first uses the consumer confidence index and its sub index released by the National Bureau of statistics--consumer expectation index and consumer satisfaction index to represent individual investor sentiment,and analyzes the correlation between individual investor sentiment and gold futures volatility from the perspective ofbehavioral finance Relationship.Next,in the empirical part,this paper first selects the data from the listing date of Shanghai gold futures to September 30,2019.For comparison,it is the first to use Granger causality test to visually verify whether there is a causal relationship between investor sentiment and the fluctuation of Shanghai gold futures under the same frequency.Then,considering the fact that the data used are not of the same frequency,the GARCH-MIDAS model of mixing is introduced to preserve the accuracy and integrity of data information in the largest range,and to investigate the impact of individual investor sentiment on the fluctuation of gold futures.In addition,this paper also includes the gold futures of the United States and India into the empirical analysis,and examines the influence of Chinese investor sentiment on the gold futures market of different countries under the background of global economic integration and financial liberalization.On this basis,based on the time of Shanghai gold futures listing,this paper analyzes the influence of sentiment change on the United States and India in different periods The difference of gold futures volatility.Based on the empirical analysis of this paper,we draw the following conclusions:first,in the same frequency state,there is no causal relationship between investor sentiment and the volatility of Shanghai gold futures.Secondly,in the non-homogeneous state,using the GARCH-MIDAS model of mixing,we find that there is a negative relationship between investor sentiment and the long-term volatility of gold futures,and whether for China or the United States and India,the change of Chinese investor sentiment has a significant negative impact on the volatility of gold futures.In addition,the long-term fluctuation of gold futures caused by the change of consumer sentiment is more intense when some unexpected events with higher probability of uncertainty occur.Finally,different from the empirical conclusion that the recent changes of investor sentiment in China have a greater impact on the fluctuation of gold futures,the impact of Chinese investor sentiment on the changes of foreign gold futures prices(returns)has a certain lag,and what's more,before the listing of Shanghai gold futures,Chinese investorsentiment has a long impact on the returns of the U.S.gold futures market There was no significant effect of period fluctuation.According to the results of empirical analysis,this paper also puts forward suggestions to individual investors for rational investment,relevant policy makers from the perspective of individual investors and accelerating the opening of China's gold futures market at the end of this paper,and summarizes the shortcomings of this paper,and envisages the next research direction.