基于投资者情绪的沪深300指数期货与指数价格关系  

The Price Relationship between CSI 300 Index Futures and CSI 300 Index Affected by Investor Sentiment

作　　者：陈志毅[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《特区经济》2017年第4期69-74,共6页Special Zone Economy

摘　　要：本文选用沪深300指数及指数期货的五个指标作为投资者情绪的代理变量,采用主成分分析法得到投资者情绪的综合指标。通过对投资者情绪、沪深300指数期货价格和沪深300指数进行实证分析,得到沪深300指数期货与沪深300指数之间的价格影响关系,并发现投资者情绪对这种关系存在影响。In this paper,we choose five indexes of CSI 300 index and index futures as proxy variables of investor sentiment.The comprehensive index of investor senti-ment is obtained by principal component analysis.Through the empirical analysis of investor sentiment,CSI 300 index futures prices and the CSI 300 index,we get the price relationship between the CSI 300 index futures and the CSI 300 index,and found that investor sentiment has an impact on this relationship.

关 键 词：沪深300指数期货 沪深300指数 投资者情绪 

分 类 号：F724.5[经济管理—产业经济]