Research On The Impact Of Investor Sentiment On Stock Index Futures Market

After continuous development,China's financial market has produced many derivatives.Stock index futures,as special futures with stocks as markers,play a very important role in hedging,risk aversion and stabilizing the stock market.The development of China's stock index futures market is late,and its development and system are not yet perfect.Therefore,the stabilizer that should stabilize the stock market was considered to be the cause of the stock market shock when the stock market crash occurred in 2015.When traditional finance cannot explain the financial anomalies that occur,behavioral finance provides the basis for research.Investors' investment behavior in the market will promote the trading and price of stock index futures,and investor sentiment,as a systematic deviation of the investor's psychological collective,affects the decision-making behavior in the entire market,and thus affects the stock index futures market.Due to the close relationship between the stock index period and the current market,the stock index futures market is not only affected by the sentiment of investors in the stock index futures market,but also by the stock market.This article takes the stock index futures market before and after the 2015 stock disaster as the research object,and studies the influence of investor sentiment and stock market sentiment on the stock index futures market before and after the restrictions of trading policies on stock index futures market returns and fluctuations.In this paper,the principal component analysis method is used to construct a comprehensive index of investor sentiment.On the premise of analyzing the relationship between the investor sentiment in the two stock index futures markets and the stock index futures market,the hypothesis is raised: the investor sentiment in the stock index futures market is simultaneously It affects the earnings and volatility of the stock index futures market.The research hypothesis is tested by constructing a model,and the traditional regression model(OLS)and mixed sampling model(MIDAS)are used to verify the impact of investorsentiment on the stock index futures market before and after the policy control of trading restrictions.The GARCH-MIDAS model is used to study the impact of investor sentiment on the stock index futures market on long-term fluctuations in the stock index futures market.The results of the study show that,regardless of whether there is policy control or not,the mixed sampling model has a higher degree of explanation about the impact of investor sentiment on the stock index futures market;before and after the trading restriction policy,both the stock index market investor sentiment and the stock market investor sentiment are It has an impact on the return and fluctuation of stock index futures.Investor sentiment in the stock market is an important factor that affects changes in the stock index futures market.Before and after the trading restriction policy control,investor sentiment in the stock index futures market has a positive effect on the return and fluctuation of stock index futures The impact of policy control is negative,and stock index futures returns and volatility have a certain increase in the response to investor sentiment.In the study of the long-term fluctuations in the stock index futures market,it is found that the direction of the influence of investor sentiment on the fluctuations of the stock index futures market is positive whether or not it is under the control of trading restrictions.