高频环境下股指期货市场情绪冲击效应  

The Impact of Investor Sentiment on Stock Index Futures Market under High-frequency Environment

作　　者：谢军[1] 杨春鹏[2] 闫伟[2] 

机构地区：[1]广西大学数学与信息科学学院,广西南宁530004 [2]华南理工大学经济与贸易学院,广东广州510006

出　　处：《系统工程》2012年第9期27-36,共10页Systems Engineering

基　　金：国家自然科学基金资助项目(70871042)

摘　　要：在高频环境下构建多空不均衡指标作为股指期货市场投资者情绪代理变量,并实证检验了投资者情绪对股指期货市场各合约收益冲击的总体效应及日内效应。主要实证结果显示:高频环境下股指期货市场投资者情绪是股指期货定价的重要系统性因子,投资者情绪显著地正向影响股指期货收益;并且投资者情绪对股指期货各合约的冲击表现出明显的日内效应,具体表现为"ㄣ"型效应:开盘后半小时,投资者情绪对股指期货各合约收益的冲击程度最大;收盘前半小时,该冲击的程渡最小;其它时段冲击的程度居中。Under high-frequency environment,this paper proposes a call-put index as the proxy variable for investor sentiment in stock index futures,by empirically investigating the whole impact and intraday effects of investor sentiment on stock index futures returns.The results show that investor sentiment is a system factor in the index futures pricing under high-frequency,and investor sentiment has a significant positive impact on the return of stock index futures.Besides,there are intraday effects about the impact of investor sentiment on stock index futures return,specifically expressed in the ＂ㄣ＂-shaped intraday effects： In the first half an hour after the opening,the impact of investor sentiment on stock index futures return is the largest,in the last half an hour before the closing,the impact is the smallest,and the impact during the other time is medium.

关 键 词：高频数据 日内效应 多空不均衡指标 投资者情绪 

分 类 号：F830[经济管理—金融学]