Standard finance is under wide skepticism due to its inner contradictions and
lame explanation over many anomalies. As more and more anomalies occur and the
inconformity between the 80’s classic financial models and investor behaviors
becomes wider, investor sentiment theory, as a branch of behavioral finance, starts to
gain broader recognition from researchers and scholars worldwide. As an important
indicator of investor’s mental process, sentiment has become a hot topic for finance
studies. At present, researchers and scholars around the globe mainly focuses on
studying its influences upon stock market while barely touching its impacts on index
futures market. Based on references of researchers’ study on the influences of investor
sentiment upon index futures market, this paper establishes an according theoretical
model, which takes trading volume, transaction amount, inventory, price volatility and
closed-end fund discount rate as initial indexes. Also, it grabs the A share market data
between Nov. 1, 2010 and Oct. 31, 2013 as data samples and creates an aggregative
indicator based on PCA (Principle Component Analysis). Further more, it verifies the
connections between investor sentiment and index futures market price through
GJR-GARCH model.
Though empirical study, this paper concludes that investor sentiment has positive
influences upon index futures price. This has been confirmed in 5-min data analysis,
15-min data analysis and 30-min data analysis. The magnitude of the influences reach
top under 30-min coefficients, take second place under 5-min coefficients and are
lowest under 15-min coefficients, which indicates the irregularity of investor
sentiment’s influences upon index futures price. In analysis on investor’s reaction to
bad news and good news, the 5-min coefficients are minus, which explains that
investor has a stronger reaction to bad news; while the positive coefficients for
15-min and 30-min analysis indicate that investor tends to have a stronger reaction to
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