Research On Hedging Ratio Of Stock Index Futures Based On Investor Sentiment

Hedging is one of the important functions of stock index futures.The hedging ratio is crucial to the effect of hedging and is the key to hedging.In addition,the research shows that investors' investment behavior is affected by investor sentiment,and investors often make different decisions when they are in different emotional states such as high or low investor sentiment.In the futures market,investor sentiment will also affect the behavior of investors to a certain extent,which will have a certain impact on the hedging of futures.Therefore,this paper considers the influence of investor sentiment on the hedging effect in the hedging ratio model,trying to provide more reference for the risk management work of investors.This paper considers the factors of investor sentiment,selects the volume,open interest,futures basis,psychological line and bull and bear index as sentiment indicators,and uses principal component analysis to construct a comprehensive indicator of investor sentiment.Introduce the investor sentiment comprehensive index in the OLS model,the BVAR model and the GARCH model,and then use the estimation model of the hedging ratio to estimate the hedging ratio.And use the risk minimization evaluation method to analyze and compare the hedging effect of each model.Taking SSE 50 stock index futures and SSE 50 Index as research objects,through empirical analysis,the following research conclusions are obtained:(1)Under the hedging model considering investor sentiment and the conventional hedging model,the OLS model has the best hedging performance,the BVAR model has the second hedging performance,and the GARCH model has the lowest hedging performance.(2)The hedging performance of OLS model and BVAR model is higher than that of OLS model and BVAR model based on investor sentiment,while that of GARCH model is lower than that of GARCH model based on investor sentiment.